Gefang, Deborah and Koop, Gary and Potter, Simon M. (2012) The dynamics of UK and US inflation expectations. Computational Statistics and Data Analysis, 56 (11). 3120–3133. ISSN 0167-9473Full text not available in this repository. (Request a copy from the Strathclyde author)
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.
|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|
|Depositing user:||Pure Administrator|
|Date Deposited:||08 Nov 2011 09:21|
|Last modified:||06 Jan 2017 10:21|