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1 mars 2014
- handle: 10670/1.87vpzi
- hal: hal-03473828
- SCIENCESPO: 2441/6g0gsihsjmn5snc9pb0hlas97
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Mots-clés
survey expectations inflation new keynesian Philipps curve E - Macroeconomics and Monetary Economics/E.E3 - Prices, Business Fluctuations, and Cycles/E.E3.E31 - Price Level • Inflation • DeflationSujets proches
Kinetics Dynamical systemsCiter ce document
Paul Hubert et al., « Inflation expectation dynamics: the role of past present and forward looking information », Archive ouverte de Sciences Po (SPIRE), ID : 10670/1.87vpzi
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Résumé
Assuming that private agents need to learn inflation dynamics to form their inflation expectations and that they believe a hybrid New-Keynesian Phillips Curve (NKPC) is the true data generating process of inflation, we aim at establishing the role of forward-looking information in inflation expectation dynamics. We find that longer term expectations are crucial in shaping shorter-horizon expectations. Professional forecasters put a greater weight on forward-looking information presumably capturing beliefs about the central bank inflation target or trend inflation while lagged inflation remains significant. Finally,the NKPC-based inflation expectations model fits well for professional forecasts in contrast to consumers.