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The information content of survey data on expected price developments for monetary policy

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  • Gerberding, Christina
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    Abstract

    The present paper uses survey data on expected consumer price developments to analyse the role of inflation expectations in the inflation process. The survey measures of price expectations are derived from the European Commission's Consumer Survey and from the surveys of professional experts conducted by the London-based institute Consensus Economics. The estimates of the New Keynesian inflation model presented here underscore the importance of inflation expectations for the short to medium-run development of consumer prices in Germany, France and Italy. Furthermore, the analysis of the process of expectations formation indicates that the expectations of the households and experts surveyed are strongly guided by earlier forecasts and past price developments. The resultant "stickiness" of the inflation process heightens the need for monetary policy makers to adopt a forwardlooking approach. -- Die vorliegende Arbeit verwendet Umfragedaten zur erwarteten Preisentwicklung, um die Rolle der Inflationserwartungen im Inflationsprozess zu analysieren. Dabei konzentriert sich die Analyse auf die im Rahmen der EU-Verbraucherumfrage ermittelten Daten und die von Consensus Economics erhobenen Expertenprognosen für Deutschland, Frankreich und Italien. Die präsentierten Schätzungen des neukeynesianischen Inflationsmodells unterstreichen die Bedeutung der Inflationserwartungen für die kurz- bis mittelfristige Entwicklung der Konsumentenpreise. Ferner deutet die Analyse des Erwartungsbildungsprozesses darauf hin, dass sich die befragten Haushalte und Experten bei der Erwartungsbildung stark von früheren Prognosen und von der vergangenen Preisentwicklung leiten lassen. Die daraus resultierende Persistenz inflationärer Prozesse verstärkt die Notwendigkeit eines vorausschauenden Verhaltens der geldpolitischen Entscheidungsträger.

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    Paper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2001,09.

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    Date of creation: 2001
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    Handle: RePEc:zbw:bubdp1:4155

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    Keywords: inflation expectations; survey data; Phillips curve;

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    Cited by:
    1. Ivo J. M. Arnold & Jan J.G. Lemmen, 2006. "Inflation Expectations and Inflation Uncertainty in the Eurozone: Evidence from Survey Data," CESifo Working Paper Series 1667, CESifo Group Munich.
    2. Jörg Döpke & Jonas Dovern & Ulrich Fritsche & Jiri Slacalek, 2006. "The Dynamics of European Inflation Expectations," Discussion Papers of DIW Berlin 571, DIW Berlin, German Institute for Economic Research.
    3. Ullrich, Katrin, 2008. "Inflation expectations of experts and ECB communication," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 19(1), pages 93-108, March.
    4. Jan Marc Berk & Gerbert Hebbink, 2006. "The anchoring of European inflation expectations," DNB Working Papers, Netherlands Central Bank, Research Department 116, Netherlands Central Bank, Research Department.
    5. Rautureau, Nicolas, 2004. "Measuring the long-term perception of monetary policy and the term structure," Research Discussion Papers, Bank of Finland 12/2004, Bank of Finland.
    6. Slacalek, Jirka & Fritsche, Ulrich & Dovern, Jonas & Döpke, Jörg, 2005. "European inflation expectations dynamics," Discussion Paper Series 1: Economic Studies 2005,37, Deutsche Bundesbank, Research Centre.
    7. Brissimis, Sophocles N. & Skotida, Ifigeneia, 2008. "Optimal monetary policy in the euro area in the presence of heterogeneity," Journal of International Money and Finance, Elsevier, Elsevier, vol. 27(2), pages 209-226, March.
    8. Svatopluk Kapounek & Lubor Lacina, 2011. "Inflation Perceptions and Anticipations in the Old Eurozone Member States," Prague Economic Papers, University of Economics, Prague, University of Economics, Prague, vol. 2011(2), pages 120-139.

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