Expectations, structural breaks and the recent surge in inflation

Daniel Gründler

Economics Letters, 2023, vol. 233, issue C

Abstract: I use a switching-point VAR to detect if the transmission of inflation expectations to CPI inflation has changed in the post-Covid period. I find evidence that, although inflation expectation shocks affected CPI inflation somewhat stronger after 2020, the differences to the previous regime are too small to be a driving force behind the recent incline in inflation.

Keywords: Inflation; Inflation expectations; Regime switch; Counterfactual; Switching-point VAR (search for similar items in EconPapers)
JEL-codes: C32 D84 E30 E31 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004202

DOI: 10.1016/j.econlet.2023.111394

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