The dynamics of UK and US inflation expectations

Deborah Gefang, Gary Koop and Simon Potter

Computational Statistics & Data Analysis, 2012, vol. 56, issue 11, 3120-3133

Abstract: The relationship between short term and long term inflation expectations in the US and the UK is investigated with a focus on inflation pass through (i.e. how changes in short term expectations affect long term expectations). An econometric methodology is used which allows for the uncovering of the relationship between inflation pass through and various explanatory variables. Empirical results are related to theoretical models of anchored, contained and unmoored inflation expectations. For neither country are anchored or unmoored inflation expectations found. For the US, contained inflation expectations are found. For the UK, empirical findings are not consistent with the specific model of contained inflation expectations presented here, but are consistent with a broader view of expectations being constrained by the existence of an inflation target.

Keywords: Bayesian; Smoothly mixing regressions model; Inflation pass through (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167947311002623
Full text for ScienceDirect subscribers only.

Related works:
Working Paper: The Dynamics of UK and US Inflation Expectation (2012)
Working Paper: The Dynamics of UK and US Inflation Expectations (2011)
Working Paper: The Dynamics of UK and US Inflation Expectations (2009)
Working Paper: The Dynamics of UK and US Inflation Expectations (2008)
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:eee:csdana:v:56:y:2012:i:11:p:3120-3133

DOI: 10.1016/j.csda.2011.07.008

Access Statistics for this article

Computational Statistics & Data Analysis is currently edited by S.P. Azen

More articles in Computational Statistics & Data Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().