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.
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 Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Sarah Hall |
| Date Deposited: | 13 May 2014 09:14 |
| Last Modified: | 02 Aug 2023 17:10 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/9721 |
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