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The dynamics of the US economy are modelled using a time-varying structural vector autoregression that incorporates information from the yield curve. We find important changes in the dynamics of macroeconomic variables such as inflation and the federal funds rate. In addition our results suggest...
Persistent link: https://www.econbiz.de/10005518501
This paper evaluates the role of inflation-forecast heterogeneity in US monetary policy making. The deviation between private and central bank inflation forecasts is identified as a factor increasing inflation persistence and thus calling for a policy reaction. An optimal policy rule is derived...
Persistent link: https://www.econbiz.de/10005523534
JEL Classification: E52, E61, E31, E42, E43
Persistent link: https://www.econbiz.de/10005530707
This paper uses survey data to assess consumers' inflation expectations in the euro area. The probability approach is used to derive quantitative estimates of inflation expectations from the European Commission's Consumer Survey. The paper subsequently analyses the empirical properties of the...
Persistent link: https://www.econbiz.de/10005530749
Recent empirical work documents substantial disagreement in inflation expectations obtained from survey data. Furthermore, the extent of such disagreement varies systematically over time in a way that reflects the level and variance of current inflation. This paper offers a simple explanation...
Persistent link: https://www.econbiz.de/10005537424
This paper analyzes the inflation expectation formation empirically for German consumers. The expectation formation process is analyzed for a representative consumer and for different demographic groups. The results indicate that German consumers are a relatively homogeneous group. There are...
Persistent link: https://www.econbiz.de/10005545349
Historical estimates of the Fisher effect and the informational content in the yield curve may not be relevant after a change in monetary policy. This paper uses a small dynamic rational expectations model with staggered price setting to study how central bank preferences (and thereby monetary...
Persistent link: https://www.econbiz.de/10005497757
This paper considers the evidence of “near-rationality,” as described by Akerlof, Dickens, and Perry (2000). Using detailed surveys of household inflation expectations for the United States and Sweden, we find that the data are generally unsupportive of the near-rationality hypothesis....
Persistent link: https://www.econbiz.de/10005423763
Persistent link: https://www.econbiz.de/10005371265
Inflation expectations have wide-reaching effects on the macroeconomy and are an important part of the transmission of monetary policy. This paper analyses the Melbourne Institute survey of householders’ inflation expectations. Householders’ average inflation expectations vary with personal...
Persistent link: https://www.econbiz.de/10005398633