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Pré-Publication, Document De Travail Année : 2014

Inflation expectation dynamics: the role of past present and forward looking information

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.
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hal-03473828 , version 1 (10-12-2021)

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Paul Hubert, Harun Mirza. Inflation expectation dynamics: the role of past present and forward looking information. 2014. ⟨hal-03473828⟩
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