Modeling the dynamics of inflation compensation

Markus Jochmann, Gary Koop, Simon M. Potter

Research output: Contribution to journalArticle

14 Citations (Scopus)

Abstract

This paper investigates the relationship between short-term and long-term inflation expectations using daily data on inflation compensation. We use a flexible econometric model which allows us to uncover this relationship in a data-based manner. We relate our …ndings to the issue of whether inflation expectations are anchored, unmoored or contained. Our empirical results indicate no support for either unmoored or …rmly anchored inflation expectations. Most evidence indicates that inflation expectations are contained.
LanguageEnglish
Pages157-167
Number of pages11
JournalJournal of Empirical Finance
Volume17
Issue number1
Early online date23 Aug 2009
DOIs
Publication statusPublished - 31 Jan 2010

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Inflation expectations
Modeling
Inflation
Econometric models
Empirical results

Keywords

  • inflation
  • economics
  • forecasting

Cite this

Jochmann, Markus ; Koop, Gary ; Potter, Simon M. / Modeling the dynamics of inflation compensation. In: Journal of Empirical Finance. 2010 ; Vol. 17, No. 1. pp. 157-167.
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Modeling the dynamics of inflation compensation. / Jochmann, Markus; Koop, Gary; Potter, Simon M.

In: Journal of Empirical Finance, Vol. 17, No. 1, 31.01.2010, p. 157-167.

Research output: Contribution to journalArticle

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