The Dynamics of UK and US Inflation Expectations
This 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.
|Date of creation:||Jan 2009|
|Date of revision:||Jan 2009|
|Contact details of provider:|| Postal: |
Web page: http://www.rcfea.orgEmail:
More information through EDIRC
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.:
- Markus Jochmann & Gary Koop & Simon M. Potter, 2009.
"Modeling the Dynamics of Inflation Compensation,"
Working Paper Series
15_09, The Rimini Centre for Economic Analysis, revised Jan 2009.
- James H. Stock & Mark W. Watson, 2007.
"Why Has U.S. Inflation Become Harder to Forecast?,"
Journal of Money, Credit and Banking,
Blackwell Publishing, vol. 39(s1), pages 3-33, 02.
- Andrew Ang & Geert Bekaert & Min Wei, 2006.
"Do macro variables, asset markets, or surveys forecast inflation better?,"
Finance and Economics Discussion Series
2006-15, Board of Governors of the Federal Reserve System (U.S.).
- Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.
- Andrew Ang & Geert Bekaert & Min Wei, 2005. "Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?," NBER Working Papers 11538, National Bureau of Economic Research, Inc.
- Todd E.Clark & Taeyoung Doh, 2011.
"A Bayesian evaluation of alternative models of trend inflation,"
Research Working Paper
RWP 11-16, Federal Reserve Bank of Kansas City.
- Todd E. Clark & Taeyoung Doh, 2011. "A Bayesian evaluation of alternative models of trend inflation," Working Paper 1134, Federal Reserve Bank of Cleveland.
- 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.
- Nicola Anderson & John Sleath, 2001. "New estimates of the UK real and nominal yield curves," Bank of England working papers 126, Bank of England.
- Geweke, John & Keane, Michael, 2007. "Smoothly mixing regressions," Journal of Econometrics, Elsevier, vol. 138(1), pages 252-290, May.
- 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.
- 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.
- Todd E. Clark & Stephen J. Terry, 2009.
"Time variation in the inflation passthrough of energy prices,"
Research Working Paper
RWP 09-06, Federal Reserve Bank of Kansas City.
- Todd E. Clark & Stephen J. Terry, 2010. "Time Variation in the Inflation Passthrough of Energy Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1419-1433, October.
When requesting a correction, please mention this item's handle: RePEc:rim:rimwps:14_09. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marco Savioli)
If references are entirely missing, you can add them using this form.