Inflation dynamics during the Financial Crisis in Europe: cross-sectional identification of long-run inflation expectations

Konferenzbeitrag

We investigate drivers of Euro area inflation dynamics using a panel of regional Phillips curves and identify long-run inflation expectations by exploiting the cross-sectional dimension of the data. Our approach simultaneously allows for the inclusion of country-specific inflation and unemployment-gaps, as well as time-varying parameters. Our preferred panel specification outperforms various aggregate, uni- and multivariate unobserved component models in terms of forecast accuracy. We find that declining long-run trend inflation expectations and rising inflation persistence indicate an altered risk of inflation expectations de-anchoring. Lower trend inflation, and persistently negative unemployment-gaps, a slightly increasing Phillips curve slope and the downward pressure of low oil prices mainly explain the low inflation rate during the recent years.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2018: Digitale Wirtschaft - Session: Inflation ; No. F02-V3

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models ; Price Level; Inflation; Deflation
• Thema: inflation dynamics ; inflation expectations ; trend inflation ; nonlinear state space model ; panel UCSV model ; Euro area

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Dany-Knedlik, Geraldine ; Holtemöller, Oliver
• Ereignis: Veröffentlichung
• (wer): ZBW - Leibniz-Informationszentrum Wirtschaft
• (wo): Kiel, Hamburg
• (wann): 2018

Weitere Informationen

• Handle: http://hdl.handle.net/10419/181520
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ