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A monetary approach to measuring long-run inflationary expectations |
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| Authors: | J Walter Elliot William Reichenstein |
| Institution: | 1. George Mason University;2. Montreat College;1. Department of Economics, George Mason University, Fairfax VA, 22030, United States;2. Mercatus Center, George Mason University, Fairfax, VA, 22030, United States;3. Department of Economics, George Mason University, Fairfax, VA, 22030, United States |
| Abstract: | In this paper, a model of long-term monetary equilibrium is used to construct an empirical model of long-run inflationary expectations. This model is estimated and used to construct out-of-sample estimates of long-run expected inflation. Comparisons of expectations measures from this model with those from commonly-used autoregressive models and with a model drawn from the term structure clearly favors the former. |
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