Mertens, Elmar; Nason, James Michael - In: Quantitative economics : QE ; journal of the … 11 (2020) 4, pp. 1485-1520
This paper studies the joint dynamics of U.S. inflation and a term structure of average inflation predictions taken from the Survey of Professional Forecasters (SPF). We estimate these joint dynamics by combining an unobserved components (UC) model of inflation and a sticky‐information...