Estimating unobservable inflation expectations in the New Keynesian Phillips Curve
Francesca Rondina ()
No 1804E, Working Papers from University of Ottawa, Department of Economics
This paper uses an econometric model and Bayesian estimation to reverse engineer the path of inflation expectations implied by the New Keynesian Phillips Curve and the data. The estimated expectations roughly track the patterns of a number of common measures of expected inflation available from surveys or computed from financial data. In particular, they exhibit the strongest correlation with the inflation forecasts of the respondents in the University of Michigan Survey of Consumers. The estimated model also shows evidence of the anchoring of long run inflation expectations to a value that is in the range of the target inflation rate.
Keywords: Phillips curve; expectations; survey data; Bayesian estimation. (search for similar items in EconPapers)
JEL-codes: C1 E3 E5 (search for similar items in EconPapers)
Pages: 32 pages
New Economics Papers: this item is included in nep-mac and nep-mon
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Journal Article: Estimating Unobservable Inflation Expectations in the New Keynesian Phillips Curve (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:ott:wpaper:1804e
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