Modeling the dynamics of inflation compensation |
| |
Authors: | Markus Jochmann Gary Koop Simon M. Potter |
| |
Affiliation: | 1. Department of Economics, University of Strathclyde, United Kingdom;2. Macroeconomics and Monetary Studies Function, Federal Reserve Bank of New York, United States |
| |
Abstract: | This paper investigates the relationship between short-term and long-term inflation expectations using daily data on inflation compensation derived from the term structure of real and nominal interest rates. We use a flexible econometric model which allows us to uncover this relationship in a data-based manner. We relate our findings to the issue of whether inflation expectations are anchored, unmoored or contained. Our empirical results indicate no support for either unmoored or firmly anchored inflation expectations. Most evidence indicates that inflation expectations are contained. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |