Modeling the Dynamics of Inflation Compensation

Markus Jochmann (), Gary Koop and Simon Potter

Working Paper series from Rimini Centre for Economic Analysis

Abstract: This paper investigates the relationship between short-term and long-term inflation expectations using daily data on inflation compensation. We use a flexible econometric model which allows us to uncover this relationship in a data-based manner. We relate our findings to the issue of whether inflation expectations are anchored, unmoored or contained. Our empirical results indicate no support for either unmoored or firmly anchored inflation expectations. Most evidence indicates that inflation expectations are contained.

Date: 2009-01
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Citations: View citations in EconPapers (15)

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Related works:
Journal Article: Modeling the dynamics of inflation compensation (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:rim:rimwps:15_09

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