Type
Working paper
Title
Inflation expectation dynamics: the role of past present and forward looking information
In
Working paper de l'OFCE
Author(s)
HUBERT Paul - Observatoire français des conjonctures économiques (Author)
HARUN Mirza - Banque centrale européenne (Author)
Collection
Working paper de l'OFCE : 2014-07
Keywords
survey expectations, inflation, new keynesian, Philipps curve
Abstract
EN
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.

BIBLIOGRAPHIC QUOTE
EXPORT