Open access
Date
2013-01Type
- Working Paper
ETH Bibliography
yes
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Abstract
We investigate the updating behavior of individual consumers regarding their shortand long-run inflation expectations. Utilizing the University of Michigan Survey of Consumer’s rotating panel microstructure, we can identify whether individuals adjust their inflation expectations over a period of six months. We find evidence that the updating frequency has been underestimated. Furthermore, looking at the possible determinants of an update we find support for imperfect information models. Moreover, individual expectations are found to be more accurate after an update and forecast accuracy is affected by inflation volatility measures and news regarding inflation. Finally, the updating frequency is found to significantly move spreads in bond markets. Show more
Permanent link
https://doi.org/10.3929/ethz-a-007611525Publication status
publishedJournal / series
KOF Working PapersVolume
Publisher
KOF Swiss Economic Institute, ETH ZurichSubject
Microdata; BETRIEBSWIRTSCHAFTLICHE PROGNOSE; Rational Inattention; MAKROÖKONOMISCHE MODELLE (OPERATIONS RESEARCH); INFLATION; BUSINESS FORECASTS; News; MACROECONOMIC MODELS (OPERATIONS RESEARCH); Updating inflation expectationsOrganisational unit
03716 - Sturm, Jan-Egbert / Sturm, Jan-Egbert
02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
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ETH Bibliography
yes
Altmetrics