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Expectations, structural breaks and the recent surge in inflation

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  • Gründler, Daniel

Abstract

I use a switching-point VAR to detect if the transmission of inflation expectations to CPI inflation has changed in the post-Covid period. I find evidence that, although inflation expectation shocks affected CPI inflation somewhat stronger after 2020, the differences to the previous regime are too small to be a driving force behind the recent incline in inflation.

Suggested Citation

  • Gründler, Daniel, 2023. "Expectations, structural breaks and the recent surge in inflation," Economics Letters, Elsevier, vol. 233(C).
    • Handle: RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004202
    DOI: 10.1016/j.econlet.2023.111394
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    More about this item

    Keywords

    Inflation; Inflation expectations; Regime switch; Counterfactual; Switching-point VAR;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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