Abstract
Language | English |
---|---|
Pages | 3120–3133 |
Number of pages | 14 |
Journal | Computational Statistics and Data Analysis |
Volume | 56 |
Issue number | 11 |
Early online date | 19 Jul 2011 |
DOIs | |
Publication status | Published - 30 Nov 2012 |
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Keywords
- Bayesian
- smoothly mixing regressions model
- inflation pass through
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The dynamics of UK and US inflation expectations. / Gefang, Deborah; Koop, Gary; Potter, Simon M.
In: Computational Statistics and Data Analysis, Vol. 56, No. 11, 30.11.2012, p. 3120–3133.Research output: Contribution to journal › Article
TY - JOUR
T1 - The dynamics of UK and US inflation expectations
AU - Gefang, Deborah
AU - Koop, Gary
AU - Potter, Simon M.
PY - 2012/11/30
Y1 - 2012/11/30
N2 - The relationship between short term and long term inflation expectations in the US and the UK is investigated with a focus on inflation pass through (i.e. how changes in short term expectations affect long term expectations). An econometric methodology is used which allows for the uncovering of the relationship between inflation pass through and various explanatory variables. Empirical results are related to theoretical models of anchored, contained and unmoored inflation expectations. For neither country are anchored or unmoored inflation expectations found. For the US, contained inflation expectations are found. For the UK, empirical findings are not consistent with the specific 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.
AB - The relationship between short term and long term inflation expectations in the US and the UK is investigated with a focus on inflation pass through (i.e. how changes in short term expectations affect long term expectations). An econometric methodology is used which allows for the uncovering of the relationship between inflation pass through and various explanatory variables. Empirical results are related to theoretical models of anchored, contained and unmoored inflation expectations. For neither country are anchored or unmoored inflation expectations found. For the US, contained inflation expectations are found. For the UK, empirical findings are not consistent with the specific 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.
KW - Bayesian
KW - smoothly mixing regressions model
KW - inflation pass through
UR - http://www.scopus.com/inward/record.url?scp=84862019141&partnerID=8YFLogxK
U2 - 10.1016/j.csda.2011.07.008
DO - 10.1016/j.csda.2011.07.008
M3 - Article
VL - 56
SP - 3120
EP - 3133
JO - Computational Statistics and Data Analysis
T2 - Computational Statistics and Data Analysis
JF - Computational Statistics and Data Analysis
SN - 0167-9473
IS - 11
ER -