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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Vydáno v:MAGKS - Joint Discussion Paper Series in Economics (Band 16-2012)
Hlavní autoři: Lamla, Michael J., Sarferaz, Samad
Médium: Arbeit
Jazyk:angličtina
Vydáno: Philipps-Universität Marburg 2012
Témata:
time-varying parameters
inflation expectation formation
Bayesian methods, disagreement
stochastic volatility.
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Wirtschaft
Economics
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Shrnutí: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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