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Modeling the dynamics of inflation compensation

Koop, G.M. and Jochmann, Markus and Potter, S. (2009) Modeling the dynamics of inflation compensation. Journal of Empirical Finance, 17 (1). pp. 157-167. ISSN 0927-5398

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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 …ndings to the issue of whether inflation expectations are anchored, unmoored or contained. Our empirical results indicate no support for either unmoored or …rmly anchored inflation expectations. Most evidence indicates that inflation expectations are contained.

Item type: Article
ID code: 7732
Keywords: inflation, economics, forecasting, Economic Theory, Finance, Economics and Econometrics
Subjects: Social Sciences > Economic Theory
Department: Strathclyde Business School > Economics
Depositing user: Strathprints Administrator
Date Deposited: 18 Mar 2009 16:18
Last modified: 21 May 2015 10:09
Related URLs:
URI: http://strathprints.strath.ac.uk/id/eprint/7732

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