EconPapers    
Economics at your fingertips  
 

Is time-variant information stickiness state-dependent?

Yingying Xu (), Zhixin Liu, Zichao Jia and Chi-Wei Su
Additional contact information
Yingying Xu: Beihang University
Zhixin Liu: Beihang University
Zichao Jia: Beihang University
Chi-Wei Su: Ocean University of China

Portuguese Economic Journal, 2017, vol. 16, issue 3, 169-187

Abstract: Abstract This paper estimates information stickiness with regard to inflation expectations in the United States and the Eurozone for the 1981/06–2015/12 and 1998/Q4–2015/Q2 periods, respectively, and further investigates whether such information stickiness is state-dependent. Based on a bootstrap sub-sample rolling-window estimation, we find that information stickiness varies over time, which contradicts the strict time dependency implied under sticky-information theory. We provide evidence that information stickiness depends on inflation volatility, which indicates that information stickiness is state-dependent and that it has a time trend. Using a threshold model, we estimate structural changes in the state-dependence and time-trend of information stickiness. The results show that information stickiness has been more dependent on inflation volatility and has had a higher time-trend in both regions following the 2008 financial crisis.

Keywords: Information stickiness; Inflation expectations; State dependence (search for similar items in EconPapers)
JEL-codes: E31 E52 E58 D84 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1007/s10258-017-0129-x Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
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:spr:portec:v:16:y:2017:i:3:d:10.1007_s10258-017-0129-x

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10258/PS2

Access Statistics for this article

Portuguese Economic Journal is currently edited by Luís F. Costa

More articles in Portuguese Economic Journal from Springer, Instituto Superior de Economia e Gestao
Bibliographic data for series maintained by Sonal Shukla ().

 
Page updated 2019-04-09
Handle: RePEc:spr:portec:v:16:y:2017:i:3:d:10.1007_s10258-017-0129-x