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A Replication of Anchored Inflation Expectations

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  • Blagov, Boris
  • Guljanov, Gaygysyz
  • Kharazi, Aicha

Abstract

Carvalho et al. (2023) propose a theoretical framework that explains longrun inflation expectations' dynamic using short-run inflation surprises and beliefs about monetary policy. In an empirical exercise, they show that this concise framework predicts long-term inflation expectations well over long periods and across a multitude of countries. In this study we look at the reproducibility of the work and the robustness of the results across two dimensions - the strength of the empirical results and the robustness of the estimation methodology. Across the empirical dimension, we extend the model with data past the global pandemic and study the robustness of the results before 2020 as well as the strength of the conclusion after 2020. With respect to the methodological application, we utilise a different sampler to estimate the main non-linear specification. The original findings remain intact across both dimensions.

Suggested Citation

  • Blagov, Boris & Guljanov, Gaygysyz & Kharazi, Aicha, 2024. "A Replication of Anchored Inflation Expectations," I4R Discussion Paper Series 174, The Institute for Replication (I4R).
    • Handle: RePEc:zbw:i4rdps:174
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    References listed on IDEAS

    as
    1. Carlos Carvalho & Stefano Eusepi & Emanuel Moench & Bruce Preston, 2023. "Anchored Inflation Expectations," American Economic Journal: Macroeconomics, American Economic Association, vol. 15(1), pages 1-47, January.
    2. Edward P. Herbst & Frank Schorfheide, 2016. "Bayesian Estimation of DSGE Models," Economics Books, Princeton University Press, edition 1, number 10612, December.
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