Updating inflation expectations

Michael Lamla and Samad Sarferaz

No 12-301, KOF Working papers from KOF Swiss Economic Institute, ETH Zurich

Abstract: This paper investigates how inflation expectations evolve. In particular, we analyze the time-varying nature of the propensity to update expectations and its potential determinants. For this purpose we set up a flexible econometric model that tracks the formation of inflation expectations of consumers at each moment in time. We show that the propensity to update inflation expectations changes substantially over time and is related to the quantity and the quality of news.

Keywords: Inflation expectation formation; Time-varying parameters; Bayesian methods; Disagreement; Media coverage; Stochastic volatility (search for similar items in EconPapers)
Pages: 37 pages
Date: 2012-03
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Citations: View citations in EconPapers (32)

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http://dx.doi.org/10.3929/ethz-a-007154484 (application/pdf)

Related works:
Working Paper: Updating Inflation Expectations (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:kof:wpskof:12-301

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