Updating inflation expectations
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Zurich: KOF Swiss Economic Institute, ETH Zurich, 2012. (KOF Working Papers; No. 301).
Research output: Working paper › Working papers
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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 -