Modeling the dynamics of inflation compensation

Jochmann, Markus and Koop, Gary and Potter, Simon M. (2010) Modeling the dynamics of inflation compensation. Journal of Empirical Finance, 17 (1). pp. 157-167. ISSN 0927-5398 (https://doi.org/10.1016/j.jempfin.2009.08.002)

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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.

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• Item metadata

  Item type:	Article
  ID code:	7732
  Dates:	Date Event 31 January 2010 Published 23 August 2009 Published Online
  Subjects:	Social Sciences > Economic Theory
  Department:	Strathclyde Business School > Economics
  Depositing user:	Strathprints Administrator
  Date deposited:	18 Mar 2009 16:18
  Last modified:	12 Apr 2024 00:12
  URI:	https://strathprints.strath.ac.uk/id/eprint/7732