| Article ID: | iaor20172437 |
| Volume: | 36 |
| Issue: | 5 |
| Start Page Number: | 557 |
| End Page Number: | 565 |
| Publication Date: | Aug 2017 |
| Journal: | Journal of Forecasting |
| Authors: | Apergis Nicholas |
| Keywords: | forecasting: applications, simulation |
This paper investigates the impact of both asset and macroeconomic forecast errors on inflation forecast errors in the USA by making use of a two‐regime model. The findings document a significant contribution of both types of forecast errors to the explanation of inflation forecast errors, with the pass‐through being stronger when these errors move within the high‐volatility regime.