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Tracking U.S. Inflation Expectations with Domestic and Global Indicators

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Author Info
Efrem Castelnuovo () (University of Padua)

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Abstract

Are foreign variables important for tracking U.S. inflation expectations? This paper estimates a reduced-form model which takes into account both domestic and global indicators of economic slack as well as inflationary pressures. Our main findings point towards the instability of the estimated parameters over the last four decades. In particular, global indicators appear to have played a significant role in shaping forecasters' expectations until the mid-'80s. By contrast, the U.S. monetary policy stance turns out to be relevant in the '80s and '90s. We relate this finding to the more aggressive monetary policy conduct implemented by the Fed since the end of the Volcker experiment.

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Publisher Info
Paper provided by Dipartimento di Scienze Economiche "Marco Fanno" in its series "Marco Fanno" Working Papers with number 0031.

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Length: 28 pages
Date of creation: Dec 2006
Date of revision:
Handle: RePEc:pad:wpaper:0031

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Related research
Keywords: inflation expectations; globalization; domestic factors; global factors; monetary policy switch;

Find related papers by JEL classification:
F02 - International Economics - - General - - - International Economic Order; Noneconomic International Organizations;; Economic Integration and Globalization: General
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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