The Dynamics of UK and US Inflation Expectations
AbstractThis paper investigates the relationship between short term and long term inflation expectations in the US and the UK with a focus on inflation pass through (i.e. how changes in short term expectations affect long term expectations). An econometric methodology is used which allows us to uncover the relationship between inflation pass through and various explanatory variables. We relate our empirical results to theoretical models of anchored, contained and unmoored inflation expectations. For neither country do we fi nd anchored or unmoored inflation expectations. For the US, contained inflation expectations are found. For the UK, our findings are not consistent with the specifi c model of contained inflation expectations presented here, but are consistent with a more broad view of expectations being constrained by the existence of an inflation target.
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Bibliographic InfoPaper provided by Scottish Institute for Research in Economics (SIRE) in its series SIRE Discussion Papers with number 2011-47.
Date of creation: 2011
Date of revision:
Other versions of this item:
- Deborah Gefang & Gary Koop & Simon M. Potter, 2009. "The Dynamics of UK and US Inflation Expectations," Working Paper Series 14_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
- Deborah Gefang & Gary Koop & Simon Potter, 2011. "The Dynamics of UK and US Inflation Expectations," Working Papers 1120, University of Strathclyde Business School, Department of Economics.
- Gefang, Deborah & Koop, Gary & Potter, Simon M., 2008. "The Dynamics of UK and US Inflation Expectations," SIRE Discussion Papers 2008-59, Scottish Institute for Research in Economics (SIRE).
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-05 (All new papers)
- NEP-CBA-2012-06-05 (Central Banking)
- NEP-MAC-2012-06-05 (Macroeconomics)
- NEP-MON-2012-06-05 (Monetary Economics)
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