A Closer Look at the Behavior of Uncertainty and Disagreement: Micro Evidence from the Euro Area

This paper examines point and density forecasts of real GDP growth, inflation, and unemployment from the European Central Bank's Survey of Professional Forecasters. We analyze individual uncertainty measures as well as introduce individual point‐ and density‐based disagreement measures. The analysis indicates forecasters’ uncertainty and disagreement display substantial heterogeneity and persistence, with the latter feature challenging a key prediction of expectations models emphasizing information frictions. We also find that uncertainty is characterized by prominent respondent effects and disagreement by prominent time effects, suggesting these divergent properties underlie the well‐documented weak uncertainty–disagreement linkage. Taken together, our results provide a basis for further development of expectations models.     

Heterogeneous Inflation Expectations and Learning

Using the panel component of the Michigan Survey of Consumers, we estimate a learning model of inflation expectations, allowing for heterogeneous use of private information and lifetime inflation experience. Life experience inflation has a significant impact on individual expectations, but only for 1‐year‐ahead inflation. Public information is substantially more relevant for longer horizon expectations. Even controlling for life experience inflation and public information, idiosyncratic information explains a nontrivial proportion of the inflation forecasts of agents. Women, ethnic minorities, and less educated agents have a higher degree of heterogeneity in their idiosyncratic information, and give less importance to recent movements in inflation.     

Internal or external devaluation? What does the EC Consumer Survey tell us about macroeconomic adjustment in the Euro area?

This paper explores the dynamics of national inflation expectations within the euro area during the recent crisis. Using the European Commission's Consumer Survey, we find that the strong anchoring of area-wide inflation expectations, which is typically found in the literature, does not extend to individual member states. We also measure the effect of the crisis on national inflation expectations using sovereign bond spreads and find that increases in sovereign risk have a significant negative effect on inflation expectations. This suggests that consumers expect their country to adjust through a process of internal devaluation. In contrast, we find no evidence that tensions in the sovereign bond markets increase national inflation expectations, as one would be expect under an exit or breakup scenario.     

The Role of Media for Inflation Forecast Disagreement of Households and Professional Forecasters

This paper investigates the effects of media coverage about consumer price inflation on inflation forecast disagreement of German households and professional forecasters. We adopt a Bayesian learning model in which media coverage of inflation affects forecast disagreement by influencing information sets as well as predictor choice. Our empirical results show that disagreement of households depends on the heterogeneity of story content and on the reporting intensity, especially of news on rising inflation. Disagreement of professional forecasters does not depend on media coverage. With respect to the influence of macroeconomic variables, we provide evidence that disagreement of professional forecasters primarily depends on the inflation rate and on inflation volatility. The response of households to inflation is much less pronounced.     

Do Actions Speak Louder Than Words? Household Expectations of Inflation Based on Micro Consumption Data

Survey data on household expectations of inflation are routinely used in economic analysis, yet it is not clear how accurately households are able to articulate their expectations in survey interviews. We propose an alternative approach to recovering households' expectations of inflation from their consumption expenditures. We show that these expectations measures have predictive power for consumer price index (CPI) inflation. They are better predictors of CPI inflation than household survey responses and more highly correlated with professional inflation forecasts, except for highly educated consumers, consistent with the view that more educated consumers are better able to articulate their expectations. We also document that households' inflation expectations respond to inflation news, as measured by the unpredictable component of inflation predictions in the Survey of Professional Forecasters. The response to inflation news tends to increase with households' level of education, consistent with the existence of constraints on household's ability to process this information.     

Inconsistencies in US consumers' attitudes toward and use of electronic banking: An empirical investigation

The purpose of the study was to empirically investigate the factors that influence US consumers' attitudes toward and use of electronic banking (e-banking) and to explore the reasons that a magnitude discrepancy exists between the impact of the specific factors on consumers' attitudes and the impact on their actual behaviours. Using the data from the 2003 Survey of Consumers commissioned by the Survey Research Center at the University of Michigan, the current study found that consumers' perceptions of the characteristics of e-banking, namely the perceived advantages and problems, had different impacts on consumers' attitudes toward and their use of such service. While the perceived problems were more important in forming consumers' attitudes toward e-banking, the perceived advantages had the greatest impact on consumers' use of such service. The conclusions and discussions section also includes theoretical and practical implications drawn from the results.     

异质性通胀预期对通货膨胀形成机制的动态影响-基于混合新凯恩斯菲利普斯曲线的实证分析

通过对异质性通胀预期与实际通货膨胀动态关系的实证研究,证实了不同微观经济主体的预期都会对实际通货膨胀产生影响,并且适应性预期所占比例远远大于理性预期.更进一步,适应性预期与理性预期对实际通货膨胀的影响力不同,理性预期对实际通货膨胀的即期影响力大于适应性预期,但是影响的持久性却小于理性预期.所以央行在调控通货膨胀的时候,应关注微观经济体的通胀预期异质性,适时引导各种异质性预期,从而锚定微观经济体的预期,使得货币政策能够顺利实施.     

Inflation targeting & implications of oil shocks for inflation expectations in oil-importing and exporting economies: Evidence from three Nordic Kingdoms

In the context of the debate on inflation targeting, this paper analyses the impact of the oil shocks on inflation expectations in three Nordic Kingdoms. A NARDL framework is applied to data from Jan 1994 to June 2018 on the Kingdoms of Norway, Sweden and Denmark. Our key findings suggest that there are considerable nonlinearities and asymmetries in the relationship between inflation expectations, oil shocks and economic determinants of inflation expectations. The expectations formulated in the past have a very significant negative impact on future inflation expectations (adaptive expectations) and there is heterogeneity in the adaptiveness pace. A country's net oil trade position seems to reflect on the impact of oil price shocks on the inflation expectations and there is asymmetry and downwards inflation expectations rigidity. There is strong evidence of exchange rate pass-through to inflation expectations. Prevailing regimes of price stability can support to anchor future inflation expectations. Reduction in fiscal deficit and increases in money supply has a positive impact while unemployment has a negative impact on inflation expectations. The cumulative multiplier analysis showed that the impact of oil shock was symmetric in Sweden and Denmark but asymmetric in Norway which is a large net oil exporter. Besides the adoption of explicit inflation targeting regime by Sweden and Norway, the inflation expectations in the underlying economies are prone to the oil price shocks and macroeconomic determinants. These shocks pose a whole set of challenges to monetary authorities in these economies and the findings in the subject treatise provide some guidance on how each shock may transmit.     

News on Inflation and the Epidemiology of Inflation Expectations

This paper examines the nexus between news coverage on inflation and households’ inflation expectations. In doing so, we test the epidemiological foundations of the sticky information model (Carroll 2003, 2006 ). We use both aggregate and household‐level data from the Survey Research Center at the University of Michigan. We highlight a fundamental disconnection among news on inflation, consumers’ frequency of expectation updating, and the accuracy of their expectations. Our evidence provides at best weak support to the epidemiological framework, as most of the consumers who update their expectations do not revise them toward professional forecasters’ mean forecast.     

Unstable Inflation Targets

This paper studies long‐run inflation targets and stability in an imperfect information environment. When central banks set an inflation target that is not fully communicated, agents draw inferences about inflation from recent data and remain alert to structural change by forming expectations from a forecasting model that is estimated via discounted least squares. Inflation targets can lead agents' beliefs to depart from rational expectations through two channels. First, implementing a higher inflation target can lead to overshooting. Second, there can be nearly self‐fulfilling inflation, disinflation, or deflation that arises as an endogenous response to shocks. Policy implications for implementing a higher target without deanchoring expectations are discussed.     

Do Inflation Expectations Propagate the Inflationary Impact of Real Oil Price Shocks?: Evidence from the Michigan Survey

This paper presents evidence that inflation expectations, as measured by the Michigan Survey of Consumers, only play a minimal role in the propagation of real oil price shocks into inflation. This is despite evidence that confirms that inflation expectations are sensitive to real oil price shocks. Further analysis suggests that after the 1990s, inflation expectations may have played no part in propagating real oil price shocks into inflation.     

Disagreement and Biases in Inflation Expectations

Disagreement in inflation expectations observed from survey data varies systematically over time in a way that reflects the level and variance of current inflation. This paper offers a simple explanation for these facts based on asymmetries in the forecasters' costs of over- and underpredicting inflation. Our model implies (i) biased forecasts, (ii) positive serial correlation in forecast errors, (iii) a cross-sectional dispersion that rises with the level and the variance of the inflation rate, and (iv) predictability of forecast errors at different horizons by means of the spread between the short- and long-term variance of inflation. We find empirically that these patterns are present in inflation forecasts from the Survey of Professional Forecasters. A constant bias component, not explained by asymmetric loss and rational expectations, is required to explain the shift in the sign of the bias observed for a substantial portion of forecasters around 1982.     

Nowcasting U.S. Headline and Core Inflation

Forecasting future inflation and nowcasting contemporaneous inflation are difficult. We propose a new and parsimonious model for nowcasting headline and core inflation in the U.S. consumer price index and price index for personal consumption expenditures that relies on relatively few variables. The model's nowcasting accuracy improves as information accumulates over a month or quarter, outperforming statistical benchmarks. In real‐time comparisons, the model's headline inflation nowcasts substantially outperform those from the Blue Chip consensus and the Survey of Professional Forecasters. Across all four inflation measures, the model's nowcasting accuracy is comparable to that of the Federal Reserve Board's Greenbook.     

Disagreement about inflation and the yield curve

We show that inflation disagreement, not just expected inflation, has an impact on nominal interest rates. In contrast to expected inflation, which mainly affects the wedge between real and nominal yields, inflation disagreement affects nominal yields predominantly through its impact on the real side of the economy. We show theoretically and empirically that inflation disagreement raises real and nominal yields and their volatilities. Inflation disagreement is positively related to consumers’ cross-sectional consumption growth volatility and trading in fixed income securities. Calibrating our model to disagreement, inflation, and yields reproduces the economically significant impact of inflation disagreement on yield curves.     

Using Survey Data of Inflation Expectations in the Estimation of Learning and Rational Expectations Models

Does survey data contain useful information for estimating macroeconomic models? We address this question by using survey data of inflation expectations to estimate the New Keynesian model by Smets and Wouters ( 2007 ) and compare its performance under rational expectations and adaptive learning. The survey information serves as an additional moment restriction and helps us to determine the learning agents' forecasting model for inflation. Adaptive learning fares similarly to rational expectations in fitting macro data, but clearly outperforms rational expectations in fitting macro and survey data simultaneously. In other words, survey data contain additional information that is not present in the macro data alone.     

Measuring Inflation Expectations Uncertainty Using High‐Frequency Data

Inflation expectations play a key role in determining future economic outcomes. The associated uncertainty provides a direct gauge of how well‐anchored the inflation expectations are. We construct a model‐based measure of inflation expectations uncertainty by augmenting a standard unobserved components model of inflation with information from noisy and possibly biased measures of inflation expectations obtained from financial markets. This new model‐based measure of inflation expectations uncertainty is more accurately estimated and can provide valuable information for policymakers. Using U.S. data, we find significant changes in inflation expectations uncertainty during the Great Recession.     

Inflation Announcements and Social Dynamics

We propose a new framework for understanding the effectiveness of central bank announcements when firms have heterogeneous inflation expectations. Expectations are updated through social dynamics and, with heterogeneity, not all firms choose to operate, putting downward pressure on realized inflation. Our model rationalizes why countries stuck at the zero lower bound have had a hard time increasing inflation without being aggressive. The same model also predicts that announcing an abrupt target to disinflate will cause inflation to undershoot the target, whereas announcing gradual targets will not. We present new empirical evidence that corroborates this prediction.     

Out of Bounds: Do SPF Respondents Have Anchored Inflation Expectations?

Since the Federal Open Market Committee announced a 2% inflation target in 2012, the median long-run inflation forecast of professional forecasters has been near target. We show, however, that most individual forecasters' long-run inflation expectations fluctuate substantially, with sizeable departures from target. We propose a new “bounds anchoring” indicator based on deviations of individuals' long-run forecasts from target. This indicator sheds new light on gradual changes in expectations since the 2012 announcement. We find that bounds anchoring gradually strengthened in the years following the target announcement, but that this trend has recently started to reverse.     

中国通货膨胀预期及其影响因素分析——基于混频无套利Nelson-Siegel利率期限结构扩展模型

综合国债市场的利率期限结构信息以及不同频率的宏观信息,本文构建混频无套利Nelson-Siegel利率期限结构扩展模型,在对不同期限债券进行一致性定价理论约束下,提取了中国通货膨胀预期的期限结构并对其进行影响因素分析。研究结果表明,本文模型提取的通胀预期期限丰富、结果稳健,具有较好的参考价值。通胀预期水平和变动响应主要受货币增长率、通胀率及全球食品价格变动等国内外相关宏观变量的影响,与国债收益率因子之间的关系不显著;国债收益率因子对中长期通胀预期的方差波动具有较强解释力,表明国债定价反映了未来通胀的不确定性。本文研究有助于充分利用我国宏观与金融市场信息条件,有效发现和锚定通胀预期,一方面,研究结果可为政策制定者和市场投资者提供科学的决策参考,另一方面,研究方法对丰富宏观金融领域的分析框架具有参考价值。     

中国通货膨胀预期及其影响因素分析——基于混频无套利Nelson-Siegel利率期限结构扩展模型

综合国债市场的利率期限结构信息以及不同频率的宏观信息,本文构建混频无套利Nelson-Siegel利率期限结构扩展模型,在对不同期限债券进行一致性定价理论约束下,提取了中国通货膨胀预期的期限结构并对其进行影响因素分析。研究结果表明,本文模型提取的通胀预期期限丰富、结果稳健,具有较好的参考价值。通胀预期水平和变动响应主要受货币增长率、通胀率及全球食品价格变动等国内外相关宏观变量的影响,与国债收益率因子之间的关系不显著;国债收益率因子对中长期通胀预期的方差波动具有较强解释力,表明国债定价反映了未来通胀的不确定性。本文研究有助于充分利用我国宏观与金融市场信息条件,有效发现和锚定通胀预期,一方面,研究结果可为政策制定者和市场投资者提供科学的决策参考,另一方面,研究方法对丰富宏观金融领域的分析框架具有参考价值。