Modeling the dynamics of inflation compensation

Markus Jochmann (), Gary Koop and Simon Potter

Journal of Empirical Finance, 2010, vol. 17, issue 1, 157-167

Abstract: This paper investigates the relationship between short-term and long-term inflation expectations using daily data on inflation compensation derived from the term structure of real and nominal interest rates. We use a flexible econometric model which allows us to uncover this relationship in a data-based manner. We relate our findings to the issue of whether inflation expectations are anchored, unmoored or contained. Our empirical results indicate no support for either unmoored or firmly anchored inflation expectations. Most evidence indicates that inflation expectations are contained.

Keywords: Inflation; compensation; Bayesian; Nonlinear; time; series; State; space; model (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (38)

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Related works:
Working Paper: Modeling the Dynamics of Inflation Compensation (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:17:y:2010:i:1:p:157-167

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