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)

[thumbnail of strathprints007732]
Preview
 Text. Filename: strathprints007732.pdf
Accepted Author Manuscript
License: Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 logo
Download (231kB)| Preview

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.

ORCID iDs

Jochmann, Markus, Koop, Gary ORCID logoORCID: https://orcid.org/0000-0002-6091-378X and Potter, Simon M.;
CORE (COnnecting REpositories)