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 expecta tions 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 find anchored or unmoored inflation expectations. For the US, contained inflation expectations are found. For the UK, our fi ndings are not consistent with the speci c model of contained inflation expectations presented here, but are consistent with a broader view of expectations being constrained by the existence of an inflation target.
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Bibliographic InfoPaper provided by The Rimini Centre for Economic Analysis in its series Working Paper Series with number 14_09.
Date of creation: Jan 2009
Date of revision: Jan 2009
Other versions of this item:
- Gefang, Deborah & Koop, Gary & Potter, Simon M., 2011. "The Dynamics of UK and US Inflation Expectations," SIRE Discussion Papers 2011-47, Scottish Institute for Research in Economics (SIRE).
- 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).
- 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.
- 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
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