A Replication of Anchored Inflation Expectations

Boris Blagov, Gaygysyz Guljanov and Aicha Kharazi

No 174, I4R Discussion Paper Series from The Institute for Replication (I4R)

Abstract: Carvalho et al. (2023) propose a theoretical framework that explains longrun inflation expectations' dynamic using short-run inflation surprises and beliefs about monetary policy. In an empirical exercise, they show that this concise framework predicts long-term inflation expectations well over long periods and across a multitude of countries. In this study we look at the reproducibility of the work and the robustness of the results across two dimensions - the strength of the empirical results and the robustness of the estimation methodology. Across the empirical dimension, we extend the model with data past the global pandemic and study the robustness of the results before 2020 as well as the strength of the conclusion after 2020. With respect to the methodological application, we utilise a different sampler to estimate the main non-linear specification. The original findings remain intact across both dimensions.

Date: 2024
New Economics Papers: this item is included in nep-mon
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