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The Dynamics of European Inflation Expectations

Jörg Döpke, Jonas Dovern (), Ulrich Fritsche () and Jiri Slacalek ()

No 571, Discussion Papers of DIW Berlin from DIW Berlin, German Institute for Economic Research

Abstract: We investigate the relevance of the Carroll's sticky information model of inflation expectations for four major European economies (France, Germany, Italy and the United Kingdom). Using survey data on household and expert inflation expectations we argue that the model adequately captures the dynamics of household inflation expectations. We estimate two alternative parametrizations of the sticky information model which differ in the stationarity assumptions about the underlying series. Our baseline stationary estimation suggests that the average frequency of information updating for the European households is roughly once in 18 months. The vector error-correction model implies households update information about once a year.

Keywords: Inflation expectations; sticky information; inflation persistence (search for similar items in EconPapers)
JEL-codes: D84 E31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
Date: 2006
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Related works:
Journal Article: The Dynamics of European Inflation Expectations (2008) Downloads
Working Paper: The Dynamics of European Inflation Expectations (2006) Downloads
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