Modeling the dynamics of inflation compensation

Jochmann, Markus; Koop, Gary; Potter, Simon

doi:10.1016/j.jempfin.2009.08.002

Cited by 36 publications

(22 citation statements)

References 12 publications

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“…2 In a study using US data (and a di¤erent modelling strategy than that used in this paper), Jochmann, Koop and Potter (2008) …nd evidence in favour of contained in ‡ation expectations.…”

Section: Theoretical Models Of In ‡Ation Expectationsmentioning

confidence: 82%

“…These …gures do suggest some interesting patterns. Jochmann, Koop and Potter (2008), using a di¤erent econometric methodology, present evidence in favour of the contained in ‡ation expectations hypothesis. And, insofar as Figures 4 through 6 show that the pass through coe¢ cient is almost everywhere small (often near zero and very rarely above 0.4), our smoothly mixing regressions model is also …nding evidence of contained expectations.…”

Section: In ‡Ation Pass Through and Other Features Of Interestmentioning

confidence: 90%

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The dynamics of UK and US inflation expectations

Gefang

Koop

Potter

2012

Computational Statistics & Data Analysis

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This paper investigates the relationship between short term and long term in ‡ation expectations in the US and the UK with a focus on in ‡ation pass through (i.e. how changes in short term expectations a¤ect long term expectations). An econometric methodology is used which allows us to uncover the relationship between in ‡ation pass through and various explanatory variables. We relate our empirical results to theoretical models of anchored, contained and unmoored in ‡ation expectations. For neither country do we …nd anchored or unmoored in ‡ation expectations. For the US, contained in ‡ation expectations are found. For the UK, our …ndings are not consistent with the speci…c model of contained in ‡ation expectations presented here, but are consistent with a more broad view of expectations being constrained by the existence of an in ‡ation target.

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Section: Theoretical Models Of In ‡Ation Expectationsmentioning

confidence: 82%

Section: In ‡Ation Pass Through and Other Features Of Interestmentioning

confidence: 90%

The dynamics of UK and US inflation expectations

Gefang

Koop

Potter

2012

Computational Statistics & Data Analysis

Self Cite

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“…10 Ciccarelli et al (2015) have analysed the effects of the unconventional monetary policy measures on U.S. long-term inflation expectations using the first-difference specification. Also in Jochmann et al (2010) the analysis of anchoring in the U.S. financial market data is based on the first-difference specification. 11 Lehman Brothers collapsed in September 2008.…”

Section: Dependence Of Inflation Expectations On Actual Inflationmentioning

confidence: 99%

Anchoring of inflation expectations in the euro area: Recent evidence based on survey data

Łyziak

Paloviita

2017

European Journal of Political Economy

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. The selection and refereeing process for this paper was carried out by the Chairs of the Task Force. Papers were selected based on their quality and on the relevance of the research subject to the aim of the Task Force. The authors of the selected papers were invited to revise their paper to take into consideration feedback received during the preparatory work and the referee's and Editors' comments. Terms of use: Documents in EconStor mayThe paper is released to make the research of LIFT generally available, in preliminary form, to encourage comments and suggestions prior to final publication. The views expressed in the paper are the ones of the author(s) and do not necessarily reflect those of the ECB, the ESCB, or any of the ESCB National Central Banks.ECB Working JEL: D84, E52, E58 Keywords:Inflation expectations, anchoring, survey data, euro area, financial crisis. ECB Working Paper 1945, August 2016 2 Non-technical summaryThis paper examines the anchoring of survey-based measures of inflation expectations in the euro area. We consider inflation expectations of professional forecasters and consumers for 1999Q1-2015Q3. In the case of the professional forecasters, we use one-year ahead, two-years ahead and 4-5-years ahead inflation forecasts from the ECB Survey of Professional Forecasters (SPF), conducted every quarter. In the case of consumers, we use the European Commission Consumer survey, which provides a unique set of harmonised monthly data on 12-months ahead consumer inflation expectations across the EU economies. As the survey question is qualitative, we quantify consumer inflation expectations using the probability approach.We analyse anchoring of inflation expectations in the EMU period and pay special attention to possible changes in anchoring over the last few years, a period characterized by low inflation, increased economic uncertainty, zero lower bound (ZLB), and unconventional monetary policy measures. First, we examine the responsiveness of inflation expectations to actual inflation and the reaction of longer-term inflation expectations to shorter-term ones. Then, we analyse the anchoring of long-term inflation expectations to the ECB inflation target and extend this analysis to describe the behaviour of short-and medium-term inflation expectations. The novelty of our approach is in assessing the effectiveness of two main communication tools used by the ECB, the inflation target and the ECB inflation projections provided by the Eurosy...

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“…Therefore, a second strand of literature investigates how long-term inflation expectations respond to macroeconomic news (Beechey and Wright, 2009, Gürkaynak et al, 2010a, Beechey et al, 2011) and short-term inflation expectations (Jochmann et al, 2010). For the Euro area, Ehrmann et al (2011) show that the introduction of the Euro led to a substantial increase in the anchoring of long-term inflation expectations in the pre-crisis period, particularly in Italy and Spain.…”

Section: Introductionmentioning

confidence: 99%

The Time-Varying Degree of Inflation Expectations Anchoring

2015

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Well-anchored inflation expectations have become a key indicator for the credibility of a central bank's inflation target. Since the outbreak of the recent financial crisis, the existence and the degree of de-anchoring of U.S. inflation expectations have been under debate. This paper introduces an encompassing time-varying parameter model to analyze the changing degree of U.S. inflation expectations anchoring. We confirm that inflation expectations have been partially de-anchored during the financial crisis. Yet, our results suggest that inflation expectations have been successfully reanchored ever since.

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Modeling the dynamics of inflation compensation

Cited by 36 publications

References 12 publications

The dynamics of UK and US inflation expectations

The dynamics of UK and US inflation expectations

Anchoring of inflation expectations in the euro area: Recent evidence based on survey data

The Time-Varying Degree of Inflation Expectations Anchoring

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