Updating Inflation Expectations

Updating Inflation Expectations

This paper investigates how inflation expectations evolve. In particular, we analyze the time-varying nature of the propensity to update expectations and its potential determinants. For this purpose we set up a flexible econometric model that tracks the formation of inflation expectations of consume...

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Dades bibliogràfiques
Publicat a:MAGKS - Joint Discussion Paper Series in Economics (Band 16-2012)
Autors principals: Lamla, Michael J., Sarferaz, Samad
Format: Arbeit
Idioma:anglès
Publicat: Philipps-Universität Marburg 2012
Matèries:
time-varying parameters
inflation expectation formation
Bayesian methods, disagreement
stochastic volatility.
media coverage
Wirtschaft
Economics
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Descripció
Sumari:This paper investigates how inflation expectations evolve. In particular, we analyze the time-varying nature of the propensity to update expectations and its potential determinants. For this purpose we set up a flexible econometric model that tracks the formation of inflation expectations of consumers at each moment in time. We show that the propensity to update inflation expectations changes substantially over time and is related to the quantity and the quality of news.
ISSN:1867-3678
DOI:10.17192/es2024.0130

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