The dynamics of UK and US inflation expectations

Deborah Gefang, Gary Koop, Simon M. Potter

Research output: Contribution to journal › Article

5 Citations (Scopus)

Abstract

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.
LanguageEnglish
Pages3120–3133
Number of pages14
JournalComputational Statistics and Data Analysis
Volume56
Issue number11
Early online date19 Jul 2011
DOIs
Publication statusPublished - 30 Nov 2012

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Inflation
Term
Econometrics
Theoretical Model
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Methodology

Keywords

  • Bayesian
  • smoothly mixing regressions model
  • inflation pass through

Cite this

Gefang, Deborah ; Koop, Gary ; Potter, Simon M. / The dynamics of UK and US inflation expectations. In: Computational Statistics and Data Analysis. 2012 ; Vol. 56, No. 11. pp. 3120–3133.
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Gefang, D, Koop, G & Potter, SM 2012, 'The dynamics of UK and US inflation expectations' Computational Statistics and Data Analysis, vol. 56, no. 11, pp. 3120–3133. https://doi.org/10.1016/j.csda.2011.07.008

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

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Gefang D, Koop G, Potter SM. The dynamics of UK and US inflation expectations. Computational Statistics and Data Analysis. 2012 Nov 30;56(11):3120–3133. https://doi.org/10.1016/j.csda.2011.07.008

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