Open access
Date
2012-03Type
- Working Paper
ETH Bibliography
yes
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Abstract
This paper investigates how inflation expectations evolve. In particular, we analyze the time-varying nature of the propensity to update expectations and its potential determinants. For this purpose we set up a flexible econometric model that tracks the formation of inflation expectations of consumers at each moment in time. We show that the propensity to update inflation expectations changes substantially over time and is related to the quantity and the quality of news. Show more
Permanent link
https://doi.org/10.3929/ethz-a-007154484Publication status
publishedJournal / series
KOF Working PapersVolume
Publisher
KOF Swiss Economic Institute, ETH ZurichSubject
ECONOMETRICS AND ECONOMETRIC MODELS (OPERATIONS RESEARCH); Bayesian methods; WIRTSCHAFTSPROGNOSEN; ÖKONOMETRIE UND ÖKONOMETRISCHE MODELLE (OPERATIONS RESEARCH); MAKROÖKONOMISCHE MODELLE (OPERATIONS RESEARCH); Stochastic volatility; INFLATION; Disagreement; Time-varying parameters; MACROECONOMIC MODELS (OPERATIONS RESEARCH); ECONOMIC FORECASTS; Media coverage; Inflation expectation formationOrganisational unit
03716 - Sturm, Jan-Egbert / Sturm, Jan-Egbert
02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
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ETH Bibliography
yes
Altmetrics