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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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Published in:MAGKS - Joint Discussion Paper Series in Economics (Band 16-2012)
Main Authors: Lamla, Michael J., Sarferaz, Samad
Format: Work
Language:English
Published: Philipps-Universität Marburg 2012
Subjects:
inflation expectation formation
time-varying parameters
media coverage
stochastic volatility.
Wirtschaft
Bayesian methods, disagreement
Economics
Online Access:PDF Full Text
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Summary: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.
Physical Description:38 Pages
ISSN:1867-3678
DOI:10.17192/es2024.0130

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