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II- Comment se forment les anticipations d'inflation ?

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    [eng] II - How are price expectations determined? by François Gardes, Jean-Loup Madre. From qualitative answers to questions about perception and expectation of price growth, collected by INSEE from 40,000 households interviewed twice between 1972 and 1988, we propose four methods to quantify this information and construct models on expectative behaviour. The main results obtained are: (i) the rationality properties, which seem to be verified on aggregate data are no longer verified on individual data, (ii) both the adaptive and the regressive mechanism are well estimated on individual data, the later becoming more and more important over specific periods (for instance when a long-term trend is broken), (iii) the parameters of these two models are shown to depend mainly on the volatility of inflation, and to a smaller degree on its level: the hypothesis made by Allais and Friedman - Schwarz (1982) is thus positively tested on these data against the hypothesis made by Gibson (1972) and Cagan(1956). [fre] II- Comment se forment les anticipations d'inflation ? par François Gardes et Jean-Loup Madré. A partir de réponses qualitatives à des questions sur l'inflation perçue et anticipée par 40 000 ménages interrogés par l'Inséé entre 1972 et 1988, nous proposons quatre méthodes pour modéliser les anticipations. Il apparaît que : (i) les propriétés de rationalité, qui semblent vérifiées sur données agrégées, ne le sont pas sur données individuelles ; (ii) les données individuelles fournissent de bonnes estimations des processus adaptatif et régressif, ce dernier comportement étant plus marqué à certains moments, par exemple en cas de rupture d'une tendance longue ; (iii) les paramètres de ces deux modèles dépendent principalement de la variabilité de l'inflation, moins nettement de son niveau : ces calculs confortent donc l'hypothèse d'Allais et Friedman-Schwartz (1982) plutôt que celle de Gibson (1972) et Cagan (1956). [ger] 2 - Wie bilden sich Inflationserwartungen ? von François Gardes und Jean-Loup Madre. Auf der Grundlage von qualitativen Antworten auf Fragen zur wahrgenommenen und erwarteten Inflation, die im Zeitraum von 1972 bis 1988 über INSEE-Erhebungen an 40 000 private Haushalte gerichtet wurden, schlagen wir. 4 Methoden zur Antizipationsmodellierung vor. Daraus geht folgendes hervor : (i) die Rationalitätsmerkmale, die auf der Basis aggregierter Daten bestätigt scheinen, sind dies nicht mit individuellen Daten ; (ii) mit den individuellen Daten lassen sich die Anpassungs- und Regressionsprozesse gut abschätzen, wobei sich das letztere Verhalten zu gewissen Zeitpunkten als stärker ausgeprägt erweist, beispielsweise im Falle der Unterbrechung einer Langzeittendenz ; (iii) die Parameter dieser beiden Modelle hängen hauptsächlich von den Inflationsschwankungen und im geringeren Grade von den Inflationswerten ab : diese Berechnungen bestätigen also eher die Hypothèse von Allais und Friedman-Schwartz (1982) als diejenige von Gibson (1972) und Cagan (1956). [spa] II - ¿Cômo se elaboran las anticipaciones de inflación ? por François Gardes y Jean-Loup Madré. A partir de las respuestas cualitativas de 40 000 familias interrogadas por el INSEE entre 1972 y 1988 a una série de preguntas relativas a la inflación apercibida y anticipada, se proponen cuatro métodos para modelizar las anticipaciones. De esta forma se deduce que : (i) las propiedades de racionalidad, que parecen corroborarse con datos agregados, no se corroboran con los datos individuales ; (ii) los datos individuals permiten evaluar correctamente el proceso adaptativo y regresivo, siendo este último más acentuado en algunos momentos, como por ejemplo en caso de ruptura de una larga tendencia; (iii) los paramátras de estos dos modelos dependen principalmente de la variabilidad de la inflación y mucho menos de su nivel. Por lo tanto, estos cálculos corroboran más la hipótesis de Allais y Friedman-Schwartz (1982) que la de Gibson (1972) y Cagan (1956).

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    Article provided by Programme National Persée in its journal Économie & prévision.

    Volume (Year): 99 (1991)
    Issue (Month): 3 ()
    Pages: 13-29

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    Handle: RePEc:prs:ecoprv:ecop_0249-4744_1991_num_99_3_5239
    Note: DOI:10.3406/ecop.1991.5239
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    1. Jonung, Lars & Laidler, David E, 1988. "Are Perceptions of Inflation Rational? Some Evidence for Sweden," American Economic Review, American Economic Association, vol. 78(5), pages 1080-1087, December.
    2. Gibson, William E, 1972. "Interest Rates and Inflationary Expectations: New Evidence," American Economic Review, American Economic Association, vol. 62(5), pages 854-865, December.
    3. Allais, Maurice, 1972. "Forgetfulness and Interest," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 4(1), pages 40-73, Part I Fe.
    4. Henri Sterdyniak, 1988. "Opinions, anticipations et consommation des ménages," Revue de l'OFCE, Programme National Persée, vol. 23(1), pages 151-174.
    5. Gourieroux, Christian & Pradel, Jacqueline, 1986. "Direct test of the rational expectation hypothesis," European Economic Review, Elsevier, vol. 30(2), pages 265-284, April.
    6. Gardes, F. & Madre, J. L., 1990. "Consumption and transitory income : An estimation on a panel of French data," Economics Letters, Elsevier, vol. 34(2), pages 197-202, October.
    7. Turnovsky, Stephen J., 1969. "A bayesian approach to the theory of expectations," Journal of Economic Theory, Elsevier, vol. 1(2), pages 220-227, August.
    8. Jonung, Lars, 1981. "Perceived and Expected Rates of Inflation in Sweden," American Economic Review, American Economic Association, vol. 71(5), pages 961-968, December.
    9. John A. Carlson, 1977. "A Study of Price Forecasts," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 6, number 1, pages 27-56 National Bureau of Economic Research, Inc.
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