Inflation expectation dynamics: the role of past present and forward looking information

Paul Hubert and Harun Mirza
Additional contact information
Harun Mirza: Centre de recherche de la Banque Centrale européenne - Banque Centrale Européenne

Working Papers from HAL

Abstract: Assuming that private agents need to learn inflation dynamics to form their inflation expectations and that they believe a hybrid New-Keynesian Phillips Curve (NKPC) is the true data generating process of inflation, we aim at establishing the role of forward-looking information in inflation expectation dynamics. We find that longer term expectations are crucial in shaping shorter-horizon expectations. Professional forecasters put a greater weight on forward-looking information presumably capturing beliefs about the central bank inflation target or trend inflation while lagged inflation remains significant. Finally,the NKPC-based inflation expectations model fits well for professional forecasts in contrast to consumers.

Keywords: survey expectations; inflation; new keynesian; Philipps curve (search for similar items in EconPapers)
Date: 2014-03-01
Note: View the original document on HAL open archive server: https://sciencespo.hal.science/hal-03473828
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://sciencespo.hal.science/hal-03473828/document (application/pdf)

Related works:
Working Paper: Inflation expectation dynamics:the role of past, present and forward looking information (2014)
Working Paper: Inflation expectation dynamics: the role of past present and forward looking information (2014)
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:hal:wpaper:hal-03473828

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().