Perceived Inflation Persistence

Monica Jain

Journal of Business & Economic Statistics, 2019, vol. 37, issue 1, 110-120

Abstract: This article constructs and estimates a measure called perceived inflation persistence that can be used to determine if professional forecasters’ inflation forecasts indicate there has been a change in inflation persistence. This measure is built via the implied autocorrelation function that follows from the estimates obtained using a forecaster-specific state-space model. Findings indicate that U.S. perceived inflation persistence has changed since the mid-1990s with more consensus among forecasters at lower levels of persistence. When compared to the autocorrelation function for actual inflation, forecasters typically react less to shocks to inflation than the actual inflation data would suggest.

Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://hdl.handle.net/10.1080/07350015.2017.1281814 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Perceived Inflation Persistence (2013)
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:taf:jnlbes:v:37:y:2019:i:1:p:110-120

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/UBES20

DOI: 10.1080/07350015.2017.1281814

Access Statistics for this article

Journal of Business & Economic Statistics is currently edited by Eric Sampson, Rong Chen and Shakeeb Khan

More articles in Journal of Business & Economic Statistics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().