Tracking U.S. Inflation Expectations with Domestic and Global Indicators

Efrem Castelnuovo

No 31, "Marco Fanno" Working Papers from Dipartimento di Scienze Economiche "Marco Fanno"

Abstract: Are foreign variables important for tracking U.S. inflation expectations? This paper estimates a reduced-form model which takes into account both domestic and global indicators of economic slack as well as inflationary pressures. Our main findings point towards the instability of the estimated parameters over the last four decades. In particular, global indicators appear to have played a significant role in shaping forecasters' expectations until the mid-'80s. By contrast, the U.S. monetary policy stance turns out to be relevant in the '80s and '90s. We relate this finding to the more aggressive monetary policy conduct implemented by the Fed since the end of the Volcker experiment.

Keywords: inflation expectations; globalization; domestic factors; global factors; monetary policy switch (search for similar items in EconPapers)
JEL-codes: E31 E52 E58 F02 F41 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2006-12
New Economics Papers: this item is included in nep-cba, nep-for, nep-mac and nep-mon
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Related works:
Journal Article: Tracking U.S. inflation expectations with domestic and global indicators (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:pad:wpaper:0031

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