Estimation of historical inflation expectations

Carola Binder

Explorations in Economic History, 2016, vol. 61, issue C, 1-31

Abstract: Expected inflation is a central variable in economic theory. Economic historians have estimated historical inflation expectations for a variety of purposes, including studies of the Fisher effect, the debt deflation hypothesis, central bank credibility, and expectations formation. I survey the statistical, narrative, and market-based approaches that have been used to estimate inflation expectations in historical eras, including the classical gold standard era, the hyperinflations of the 1920s, and the Great Depression, highlighting key methodological considerations and identifying areas that warrant further research. A meta-analysis of inflation expectations at the onset of the Great Depression reveals that the deflation of the early 1930s was mostly unanticipated, supporting the debt deflation hypothesis, and shows how these results are sensitive to estimation methodology.

Keywords: Inflation expectations; Fisher effect; gold standard; Hyperinflation; Great Depression; Rational expectations; Debt deflation (search for similar items in EconPapers)
JEL-codes: D84 E30 E31 N11 N12 N13 N14 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:exehis:v:61:y:2016:i:c:p:1-31

DOI: 10.1016/j.eeh.2016.01.002

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