Showing 1 - 10 of 4,792
This paper is the first attempt to investigate the performance of different learning rules in fitting survey data of household and expert inflation expectations in five core European economies (France, Germany, Italy, Netherlands and Spain). Overall it is found that constant gain learning...
Persistent link: https://www.econbiz.de/10010295853
This paper is the first attempt to investigate the performance of different learning rules in fitting survey data of household and expert inflation expectations in five core European economies (France, Germany, Italy, Netherlands and Spain). Overall it is found that constant gain learning...
Persistent link: https://www.econbiz.de/10005083250
Using the Consensus Economics dataset with individual expert forecasts from G7 countries we investigate determinants of disagreement (crosssectional dispersion of forecasts) about six key economic indicators. Disagreement about real variables (GDP, consumption, investment and unemployment) has a...
Persistent link: https://www.econbiz.de/10010425866
I document important empirical facts on the relationship between monetary policy and US inflation expectations in the 2013-2022 period. A shock to monetary policy rate reduces short-run expectations whereas contractionary forward guidance increases expectations persistently. Highlighting an...
Persistent link: https://www.econbiz.de/10014359172
Anchoring of inflation expectations is of paramount importance for central banks' ability to deliver stable inflation and minimize price dispersion. Relying on daily interest rates and inflation forecasts from major financial institutions in the United States, we calculate monetary policy...
Persistent link: https://www.econbiz.de/10013252031
This paper develops a Bayesian quantile regression model with time-varying parameters (TVPs) for forecasting inflation risks. The proposed parametric methodology bridges the empirically established benefits of TVP regressions for forecasting inflation with the ability of quantile regression to...
Persistent link: https://www.econbiz.de/10013324581
Persistent link: https://www.econbiz.de/10011579821
This paper estimates a New Keynesian model with a nonlinearity in the monetary policy rule to capture the practice of inflation targeting with target zones or tolerance bands. Private-sector agents form subjective expectations, update their beliefs over time using a perceived model of the...
Persistent link: https://www.econbiz.de/10015407758
Expectations play a crucial role in modern macroeconomic models. We replace the common assumption of rational expectations in a New Keynesian framework by the assumption that expectations are formed according to a heuristics switching model that has performed well in earlier work. We show how...
Persistent link: https://www.econbiz.de/10011298879
The recent macroeconomic literature stresses the importance of managing heterogeneous expectations in the formulation of monetary policy. We use a stylized macro model of Howitt (1992) to investigate inflation dynamics under alternative interest rate rules when agents have heterogeneous...
Persistent link: https://www.econbiz.de/10011378358