TY - UNPB

T1 - Updating inflation expectations

AU - Lamla, Michael J.

AU - Sarferaz, Samad

N1 - .

PY - 2012/3

Y1 - 2012/3

N2 - 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.

AB - 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.

KW - ECONOMETRICS AND ECONOMETRIC MODELS (OPERATIONS RESEARCH)

KW - Bayesian methods

KW - WIRTSCHAFTSPROGNOSEN

KW - ÖKONOMETRIE UND ÖKONOMETRISCHE MODELLE (OPERATIONS RESEARCH)

KW - MAKROÖKONOMISCHE MODELLE (OPERATIONS RESEARCH)

KW - Stochastic volatility

KW - INFLATION

KW - Disagreement

KW - Time-varying parameters

KW - MACROECONOMIC MODELS (OPERATIONS RESEARCH)

KW - ECONOMIC FORECASTS

KW - Media coverage

KW - Inflation expectation formation

KW - Economics

U2 - 10.3929/ethz-a-007154484

DO - 10.3929/ethz-a-007154484

M3 - Working papers

T3 - KOF Working Papers

BT - Updating inflation expectations

PB - KOF Swiss Economic Institute, ETH Zurich

CY - Zurich

ER -