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The Dynamics of European Inflation Expectations

Jonas Dovern (), Joerg Doepke (), Ulrich Fritsche () and Jiri Slacalek ()
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Joerg Doepke: Fachhochschule Merseburg

Authors registered in the RePEc Author Service: Jörg Döpke

No 200603, Macroeconomics and Finance Series from University of Hamburg, Department of Socioeconomics

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 and nep-mac
Date: 2006-07
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https://www.wiso.uni-hamburg.de/repec/hepdoc/macppr_3_2006.pdf Second version, 2006 (application/pdf)

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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Persistent link: https://EconPapers.repec.org/RePEc:hep:macppr:200603

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