Updating Inflation Expectations
Copyright policy )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 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.
- ETH Zurich Switzerland
- University of Essex United Kingdom
- Philipps-University of Marburg Germany
- International University in Moscow Russian Federation
- Tio Business School Netherlands
Zeit, Economics, ECONOMETRICS AND ECONOMETRIC MODELS (OPERATIONS RESEARCH), INFLATION, ÖKONOMETRIE UND ÖKONOMETRISCHE MODELLE (OPERATIONS RESEARCH), Informationsverhalten, Media coverage, WIRTSCHAFTSPROGNOSEN, Stochastic volatility, stochastic volatility, E52, info:eu-repo/classification/ddc/330, ddc:330, time-varying parameters, Wirtschaftsinformation, Wirtschaft, inflation expectation formation, D83, stochastic volatility., time-varying parameters ; inflation expectation formation ; stochastic volatility. ; Bayesian methods, disagreement ; media coverage, Schätzung, 330, Bayesian methods, inflation expectation formation, time-varying parameters, Bayesian methods disagreement, media coverage, stochastic volatility., 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, MACROECONOMIC MODELS (OPERATIONS RESEARCH), Disagreement, FOS: Mathematics, Deutschland, E31, info:eu-repo/classification/ddc/510, media coverage, E37, Inflation expectation formation, MAKROÖKONOMISCHE MODELLE (OPERATIONS RESEARCH), disagreement, Time-varying parameters, Inflationserwartung, Bayesian methods, disagreement, Inflation expectation formation, Time-varying parameters, Bayesian methods, Disagreement, Media coverage, Stochastic volatility, ECONOMIC FORECASTS, Mathematics, jel: jel:D83, jel: jel:E52, jel: jel:E31, jel: jel:E37, ddc: ddc:330
Zeit, Economics, ECONOMETRICS AND ECONOMETRIC MODELS (OPERATIONS RESEARCH), INFLATION, ÖKONOMETRIE UND ÖKONOMETRISCHE MODELLE (OPERATIONS RESEARCH), Informationsverhalten, Media coverage, WIRTSCHAFTSPROGNOSEN, Stochastic volatility, stochastic volatility, E52, info:eu-repo/classification/ddc/330, ddc:330, time-varying parameters, Wirtschaftsinformation, Wirtschaft, inflation expectation formation, D83, stochastic volatility., time-varying parameters ; inflation expectation formation ; stochastic volatility. ; Bayesian methods, disagreement ; media coverage, Schätzung, 330, Bayesian methods, inflation expectation formation, time-varying parameters, Bayesian methods disagreement, media coverage, stochastic volatility., 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, MACROECONOMIC MODELS (OPERATIONS RESEARCH), Disagreement, FOS: Mathematics, Deutschland, E31, info:eu-repo/classification/ddc/510, media coverage, E37, Inflation expectation formation, MAKROÖKONOMISCHE MODELLE (OPERATIONS RESEARCH), disagreement, Time-varying parameters, Inflationserwartung, Bayesian methods, disagreement, Inflation expectation formation, Time-varying parameters, Bayesian methods, Disagreement, Media coverage, Stochastic volatility, ECONOMIC FORECASTS, Mathematics, jel: jel:D83, jel: jel:E52, jel: jel:E31, jel: jel:E37, ddc: ddc:330
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