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    The effective use of survey information in estimating the evolution of expected inflation

    Tinsley, P.A. and Kozicki, S. (2012) The effective use of survey information in estimating the evolution of expected inflation. Journal of Money, Credit and Banking 44 (1), pp. 145-169. ISSN 0022-2879.

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    Abstract

    The evolution of the term structure of expected U.S. inflation is modeled using survey data to provide timely information on structural change not contained in lagged inflation data. To capture shifts in subjective perceptions, the model is adaptive to long-horizon survey expectations. However, even short-horizon survey expectations inform shifting-endpoint estimates that capture the lag between inflation and the perceived inflation target, which anchors inflation expectations. Results show movements of the perceived target are an important source of inflation persistence and suggest historical U.S. monetary policy was not fully credible for much of the postwar sample.

    Metadata

    Item Type: Article
    Keyword(s) / Subject(s): Livingston survey, inflation persistence, shifting endpoint, unobserved components, expectations, Kalman filter
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Sarah Hall
    Date Deposited: 13 May 2014 09:14
    Last Modified: 13 May 2014 09:14
    URI: http://eprints.bbk.ac.uk/id/eprint/9721

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