Modeling the Dynamics of Inflation Compensation
AbstractThis paper investigates the relationship between short-term and long-term ination expectations using daily data on ination compen- sation. We use a exible econometric model which allows us to uncover this relationship in a data-based manner. We relate our ndings to the issue of whether ination expectations are anchored, unmoored or contained. Our empirical results indicate no support for either unmoored or rmly anchored ination expectations. Most evidence indicates that ination expectations are contained.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by The Rimini Centre for Economic Analysis in its series Working Paper Series with number 15_09.
Date of creation: Jan 2009
Date of revision: Jan 2009
Other versions of this item:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- J. Durbin, 2002. "A simple and efficient simulation smoother for state space time series analysis," Biometrika, Biometrika Trust, vol. 89(3), pages 603-616, August.
- Yacine Ait-Sahalia, 1995.
"Testing Continuous-Time Models of the Spot Interest Rate,"
NBER Working Papers
5346, National Bureau of Economic Research, Inc.
- Ait-Sahalia, Yacine, 1996. "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 385-426.
- Campbell, John Y & Shiller, Robert J, 1988.
" Stock Prices, Earnings, and Expected Dividends,"
Journal of Finance,
American Finance Association, vol. 43(3), pages 661-76, July.
- John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," Cowles Foundation Discussion Papers 858, Cowles Foundation for Research in Economics, Yale University.
- John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," NBER Working Papers 2511, National Bureau of Economic Research, Inc.
- Campbell, J.Y. & Shiller, R.J., 1988. "Stock Prices, Earnings And Expected Dividends," Papers 334, Princeton, Department of Economics - Econometric Research Program.
- Campbell, John & Shiller, Robert, 1988. "Stock Prices, Earnings, and Expected Dividends," Scholarly Articles 3224293, Harvard University Department of Economics.
- Jon Faust & Dale W. Henderson, 2004.
"Is inflation targeting best-practice monetary policy?,"
International Finance Discussion Papers
807, Board of Governors of the Federal Reserve System (U.S.).
- Jon Faust & Dale W. Henderson, 2004. "Is inflation targeting best-practice monetary policy?," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 117-144.
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1996.
"Stochastic Volatility: Likelihood Inference And Comparison With Arch Models,"
- Kim, Sangjoon & Shephard, Neil & Chib, Siddhartha, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 361-93, July.
- Sangjoon Kim, Neil Shephard & Siddhartha Chib, . "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers W26, revised version of W, Economics Group, Nuffield College, University of Oxford.
- Sangjoon Kim & Neil Shephard, 1994. "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers 3., Economics Group, Nuffield College, University of Oxford.
- Schotman, Peter C. & Schweitzer, Mark, 2000. "Horizon sensitivity of the inflation hedge of stocks," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 301-315, November.
- Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-65, September.
- James H. Stock & Mark W. Watson, 2006.
"Why Has U.S. Inflation Become Harder to Forecast?,"
NBER Working Papers
12324, National Bureau of Economic Research, Inc.
- Jennifer Roush & William Dudley & Michelle Steinberg Ezer, 2008. "The case for TIPS: an examination of the costs and benefits," Staff Reports 353, Federal Reserve Bank of New York.
- Gürkaynak, Refet S. & Levin, Andrew & Swanson, Eric T, 2006.
"Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from Long-Term Bond Yields in the US, UK and Sweden,"
CEPR Discussion Papers
5808, C.E.P.R. Discussion Papers.
- Refet S. Gürkaynak & Andrew T. Levin & Eric T. Swanson, 2006. "Does inflation targeting anchor long-run inflation expectations? evidence from long-term bond yields in the U.S., U.K., and Sweden," Working Paper Series 2006-09, Federal Reserve Bank of San Francisco.
- James H. Stock & Mark W. Watson, 2007. "Erratum to "Why Has U.S. Inflation Become Harder to Forecast?"," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(7), pages 1849-1849, October.
- Dräger, Lena & Lamla, Michael, 2013.
"Anchoring of Consumers' Inflation Expectations: Evidence from Microdata,"
Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order
79889, Verein für Socialpolitik / German Economic Association.
- Lena Dräger & Michael J. Lamla, 2013. "Anchoring of Consumers’ Inflation Expectations: Evidence from Microdata," Macroeconomics and Finance Series 201305, Hamburg University, Department Wirtschaft und Politik.
- Michael J. Lamla & Lena Dräger, 2013. "Anchoring of Consumers’ Inflation Expectations: Evidence from Microdata," KOF Working papers 13-339, KOF Swiss Economic Institute, ETH Zurich.
- Duran, Murat & Gülşen, Eda, 2013. "Estimating inflation compensation for Turkey using yield curves," Economic Modelling, Elsevier, vol. 32(C), pages 592-601.
- Lemke, Wolfgang & Strohsal, Till, 2013. "What Can Break-Even Inflation Rates Tell Us about the Anchoring of Inflation Expectations in the Euro Area?," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79794, Verein für Socialpolitik / German Economic Association.
- Todd E. Clark & Troy Davig, 2008. "An empirical assessment of the relationships among inflation and short- and long-term expectations," Research Working Paper RWP 08-05, Federal Reserve Bank of Kansas City.
- Till Strohsal & Lars Winkelmann, 2012. "Assessing the Anchoring of Inflation Expectations," SFB 649 Discussion Papers SFB649DP2012-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Roberto Patuelli).
If references are entirely missing, you can add them using this form.