Updating Inflation Expectations
AbstractThis 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.
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Bibliographic InfoPaper provided by KOF Swiss Economic Institute, ETH Zurich in its series KOF Working papers with number 12-301.
Length: 39 pages
Date of creation: Mar 2012
Date of revision:
inflation expectation formation; time-varying parameters; Bayesian methods; disagreement; media coverage; stochastic volatility.;
Other versions of this item:
- Michael J. Lamla & Samad Sarferaz, 2012. "Updating Inflation Expectations," MAGKS Papers on Economics, Philipps-UniversitÃ¤t Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) 201216, Philipps-UniversitÃ¤t Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
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- Lena DrÃ¤ger & Michael Lamla, 2013.
"Imperfect Information and Inflation Expectations: Evidence from Microdata,"
Macroeconomics and Finance Series, Hamburg University, Department Wirtschaft und Politik
201301, Hamburg University, Department Wirtschaft und Politik.
- Michael J. Lamla & Lena DrÃ¤ger, 2013. "Imperfect Information and Inflation Expectations: Evidence from Microdata," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 13-329, KOF Swiss Economic Institute, ETH Zurich.
- Lamla, Michael & DrÃ¤ger, Lena, 2013. "Imperfect Information and Inflation Expectations: Evidence from Microdata," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79908, Verein fÃ¼r Socialpolitik / German Economic Association.
- Filippo Lechthaler & Lisa Leinert, 2012. "Moody Oil - What is Driving the Crude Oil Price?," CER-ETH Economics working paper series 12/168, CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich.
- DrÃ¤ger, Lena & Lamla, Michael J., 2012. "Updating inflation expectations: Evidence from micro-data," Economics Letters, Elsevier, Elsevier, vol. 117(3), pages 807-810.
- Andrade, P. & Le Bihan, H., 2010.
"Inattentive professional forecasters,"
Working papers, Banque de France
307, Banque de France.
- HervÃ© Le Bihan & Philippe Andrade, 2010. "Inattentive Professional Forecasters," 2010 Meeting Papers, Society for Economic Dynamics 1144, Society for Economic Dynamics.
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