We consider the puzzling behavior of interest rates and inflation in the United States and the United Kingdom between … World War I; the average inflation rate was 3.8 percentage points higher in the second period than in the first. Yet nominal … consistent with rational expectations if inflation were not forecastable, and indeed univariate tests show little sign of serial …

estimation exercise indicates that our model captures important variation in the data, yielding a value for the belief distortion …

The rise, fall, and stabilization of US inflation between 1969 and 2005 is consistent with a model of shifting policy … sector learning about policymaker type. Using model-implied inflation forecasting rules to extract state variables from the … inflation forecasts in the Survey of Professional Forecasters, we provide evidence that policy regimes without commitment …

heterogeneous inflation expectations. Expectations are updated through social dynamics and, with heterogeneity, not all firms choose … to operate, putting downward pressure on realized inflation. Our model rationalizes why countries stuck at the zero lower … bound have had a hard time increasing inflation without being aggressive. The same model also predicts that announcing an …

If inflation expectations become firmly anchored at the inflation target even when average inflation deviates from the … target, the long-run Phillips curve becomes non-vertical. During 1997-2011, average inflation expectations in Sweden have … been close to the inflation target of 2 percent, whereas average inflation has fallen short of the target by 0.6 percentage …

This paper investigates forecasts of U.S. inflation at the 12-month horizon. The starting point is the conventional … unemployment rate Phillips curve, which is examined in a simulated out of sample forecasting framework. Inflation forecasts …

This paper estimates expected future real interest rates and inflation rates from observed prices of UK government … nominal and index-linked bonds. The estimation method takes account of imperfections in the indexation of UK index …-linked bonds. It assumes that expected log returns on all bonds are equal, and that expected real interest rates and inflation …