 Forecasting inflation gap persistence: Do financial sector professionals differ from nonfinancial sector ones?Huw Dixon, Joshy Easaw and Saeed Heravi International Journal of Finance & Economics, 2020, vol. 25, issue 3, 461-474 Abstract: The purpose of the present paper is to investigate forecasted inflation gap persistence using professionals' survey‐based data, differentiating between financial and nonfinancial sectors professionals. We derive the forecasted inflation gap persistence, and using a state‐dependent model, we estimate the nonlinear persistence coefficient of the inflation gap. We distinguish between the pre‐Great Moderation, Great Moderation, and Great Recession periods. Our main results indicate that although the estimates of persistence for gross domestic product inflation largely confirm the results obtained using a linear model, for consumer price index inflation, we find that there is strong evidence for state dependence and time variation. By and large, the results are consistent with the price stability policy pursued in the Great Moderation period and perceived disinflationary pressures during the Great Recession period. Date: 2020 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:25:y:2020:i:3:p:461-474 Ordering information: This journal article can be ordered from Access Statistics for this article International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd. |
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