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The dynamics of UK and US inflation expectations

Gefang, Deborah and Koop, Gary and Potter, Simon M. (2012) The dynamics of UK and US inflation expectations. Computational Statistics and Data Analysis. ISSN 0167-9473 (In Press)

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Abstract

The relationship between short term and long term inflation expectations in the US and the UK is investigated with a focus on inflation pass through (i.e. how changes in short term expectations affect long term expectations). An econometric methodology is used which allows for the uncovering of the relationship between inflation pass through and various explanatory variables. Empirical results are related to theoretical models of anchored, contained and unmoored inflation expectations. For neither country are anchored or unmoored inflation expectations found. For the US, contained inflation expectations are found. For the UK, empirical findings are not consistent with the specific model of contained inflation expectations presented here, but are consistent with a broader view of expectations being constrained by the existence of an inflation target.

Item type: Article
ID code: 35551
Keywords: bayesian, smoothly mixing regressions model, inflation pass through, Economic Theory, Computational Theory and Mathematics, Computational Mathematics, Applied Mathematics, Statistics and Probability
Subjects: Social Sciences > Economic Theory
Department: Strathclyde Business School > Economics
Related URLs:
Depositing user: Pure Administrator
Date Deposited: 08 Nov 2011 09:21
Last modified: 27 Mar 2014 09:48
URI: http://strathprints.strath.ac.uk/id/eprint/35551

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