This paper analyzes the inflation forecast errors over the period 2021Q1–2022Q3 using forecasts of core and headline inflation from the International Monetary Fund World Economic Outlook for a large group of advanced and emerging market economies. The findings reveal evidence of forecast bias that worsened initially and then subsided towards the end of the sample. There is also evidence of forecast oversmoothing, indicating rigidity in forecast revision in the face of incoming information. Focusing on core inflation forecast errors in 2021, four factors provide a potential ex post explanation: a stronger‐than‐anticipated demand recovery; demand‐induced pressures on supply chains; the demand shift from services to goods at the onset of the pandemic; and labor market tightness. Ex ante, we find that the size of the COVID‐19 fiscal stimulus packages announced by different governments in 2020 correlates positively with core inflation forecast errors in advanced economies. This result hints at potential forecast inefficiency, but we caution that it hinges on the outcomes of a few, albeit large, economies.

中文翻译：

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我们是如何错过通胀飙升的：2020年后通胀预测错误剖析

本文利用国际货币基金组织对核心通胀和总体通胀的预测，分析了 2021 年第一季度至 2022 年第三季度的通胀预测误差世界经济展望对于一大批发达和新兴市场经济体而言。研究结果揭示了预测偏差的证据，该偏差最初恶化，然后在样本结束时消退。还有证据表明预测过度平滑，表明面对传入信息的预测修正是僵化的。关注 2021 年核心通胀预测错误，四个因素提供了潜在的事后解释：需求复苏强于预期；需求对供应链造成的压力；疫情爆发时，需求从服务转向商品；和劳动力市场紧张。事前，我们发现，2020 年不同政府宣布的 COVID-19 财政刺激计划的规模与发达经济体的核心通胀预测误差呈正相关。这一结果暗示了潜在的预测效率低下，但我们警告说，这取决于少数经济体（尽管规模较大）的结果。