Updating inflation expectations
Research output: Working paper › Working papers
Authors
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.
| Original language | English |
|---|---|
| Place of Publication | Zurich |
| Publisher | KOF Swiss Economic Institute, ETH Zurich |
| Number of pages | 39 |
| DOIs | |
| Publication status | Published - 03.2012 |
| Externally published | Yes |
- ECONOMETRICS AND ECONOMETRIC MODELS (OPERATIONS RESEARCH), Bayesian methods, WIRTSCHAFTSPROGNOSEN, ÖKONOMETRIE UND ÖKONOMETRISCHE MODELLE (OPERATIONS RESEARCH), MAKROÖKONOMISCHE MODELLE (OPERATIONS RESEARCH), Stochastic volatility, INFLATION, Disagreement, Time-varying parameters, MACROECONOMIC MODELS (OPERATIONS RESEARCH), ECONOMIC FORECASTS, Media coverage, Inflation expectation formation
- Economics