The Relationship Between Aggregate Earnings Surprises And Inflation Forecasts

Inflation expectations is a important subject in the field of macroeconomic for a long time,it is one of the most important focuses of academic circles and the macroeconomic regulation and control department.There is certain relationship with inflation and enterprises' profit information,especially earnings performance,earnings forecasts and earnings expectations of deviation.But whether the economic forcasters considered of these information in the formation of inflation expectations,which is answered(S.P.K othari,2012),this paper will try to answer it on the empirical evidence of China.In this paper,according to the second quarter 2002 to fourth quarter 2002 Shanghai and shenzhen a-share listed companies' voluntary disclosure of earnings expectations and real earnings,to calculated earnings expectations of deviation,and use CPI and PPI to measure inflation.This paper use LangRun CPI forecast and HeXun PPI forcast data as inflation expectations of economists.according to the survey of the central bank depositors system data,this paper use Carlson-Parkin method to calculate the inflation expectations of the residents,and then calculate inflation expectations bias with the inflation expectations and the actual inflation.Firstly,this paper uses Granger causality test on the basis of VEC model,to check the relationship of the profit forecast deviation and the actual inflation.The empirical results found that the enterprise profit forecast deviation is the granger cause of the CPI,and industrial enterprise profit forecast deviation is the granger cause of the PPI,which means that the earnings forecast information helps to predict future inflation.Then regresses inflation expectations deviation with the lag of earnings expectations deviation on controlling factors such as monetary factors,economic growth.The empirical results show that,the affect of profit forecast deviation on economists' CPI expectation bias is not significant,the result of economists' PPI expectation bias is not very steady,and result of resident' CPI expectation bias is significant.These result means that economists' expectations of CPI considering the earnings information deviation,but there is not enough evidence to declare economists' PPI expectations considered the profit forecast deviation information,the empirical results may not be enough to show the public consider the enterprise profit forecast deviation information.A series of robustness test shows that the result is sound.This paper's main innovation points and contribution is to provide empirical evidence in China,in answering the question whether inflation expectations considered micro enterprise profit information.