A Measure of our Uncertainty: Households’ Inflation Expectation and Information Shocks

Ignacio Galará
Additional contact information
Ignacio Galará: Banco de España

No 273, Working Papers from Red Nacional de Investigadores en Economía (RedNIE)

Abstract: This work focus on understanding deeper how the general public form their inflation expectations, addressing the importance of having well (micro)founded models to forecast consumer’s inflation expectations, not only for inflationary countries (like some developing ones) or inflationary contexts (like the one that begins after COVID-19 pandemic), but also when there exist some information breaks driven by specific global or national events. By a proposed VAR structural model based on behavioral mechanisms, and a state-space model based on Bayesian’s principles, I use data from Argentina and the US to retrieve a latent variable of attention to own beliefs and to outside information, which proves to be related to information outbreaks, and that correlates with different uncertainty measures, specially during those breaks.

JEL-codes: C11 C32 D84 E31 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2023-09
New Economics Papers: this item is included in nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://rednie.eco.unc.edu.ar/files/DT/273.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aoz:wpaper:273

Access Statistics for this paper

More papers in Working Papers from Red Nacional de Investigadores en Economía (RedNIE) Contact information at EDIRC.
Bibliographic data for series maintained by Laura Inés D Amato ().