Arnoud Stevens and Joris Wauters, "Is Euro Area Lowflation Here to
Stay? Insights from a Time-Varying Parameter Model with Survey Data",
Journal of Applied Econometrics, Vol. 36, No. 5, 2021, pp. 566-586.
We provide the data in three formats: SW_2021_data.xlsx,
SW_2021_data.txt and SW_2021_data.csv. These three files are zipped in
the file sw-data.zip. In these files, the decimal separator is ".",
and no thousands separator was used.
The variables in the dataset are the following:
INFL_SA: annualised quarter-on-quarter (seasonally adjusted) headline
inflation
U_SA: (seasonally adjusted) unemployment rate
RIP_INF: relative import price inflation.
SPF_INFmean_0x1: one-year ahead SPF inflation forecast, as derived
from the mean of the aggregate distribution.
SPF_INFmean_1x2: two-years ahead SPF inflation forecast, as derived
from the mean of the aggregate distribution.
SPF_INFmean_4x5: five-years ahead SPF inflation forecast, as derived
from the mean of the aggregate distribution.
These six series were used for the main estimations in the paper.
In addition, there are three other series that were used in a data
sensitivity analysis (see Online Appendix Section A.8):
SPF_INFpoint_0x1: one-year ahead SPF inflation forecast, average of
point forecasts.
SPF_INFpoint_1x2: two-years ahead SPF inflation forecast, average of
point forecasts.
SPF_INFpoint_4x5: five-years ahead SPF inflation forecast, average of
point forecasts.
We refer to Section 4.1 of the main text and Section A.1 of the Online
Appendix for details on the construction of the data.
Note the following about our dataset:
1) The sample ranges from 1990Q1 to 2019Q4.
2) the SPF data were shifted back one quarter in time, as the survey is
conducted at the start of the quarter and, therefore, reflects the
information set of the previous quarter. See the paragraph on "Timing
of the SPF data" in Section A.2 of the Online Appendix for details. As
a result, the SPF series starts in 1998Q4 in our sample, instead of
1999Q1.
3) There are missing data for the SPF series before 1998Q4 and for some
initial observations at the five-year forecast horizon.
4) We have not included the derived inflation expectations from
Consensus Economics data, as a subscription is required for accessing
the underlying series (see https://www.consensuseconomics.com/).
Please address any questions to
arnoud.stevens [AT] nbb.be
joris.wauters [AT] nbb.be