Estimating unobservable inflation expectations in the New Keynesian Phillips Curve

Artikel

This paper uses an econometric model and Bayesian estimation to reverse engineer the path of inflation expectations implied by the New Keynesian Phillips Curve and the data. The estimated expectations roughly track the patterns of a number of common measures of expected inflation available from surveys or computed from financial data. In particular, they exhibit the strongest correlation with the inflation forecasts of the respondents in the University of Michigan Survey of Consumers. The estimated model also shows evidence of the anchoring of long run inflation expectations to a value that is in the range of the target inflation rate.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 6 ; Year: 2018 ; Issue: 1 ; Pages: 1-20 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft
• Subject: Phillips curve ; expectations ; survey data ; Bayesian estimation

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Rondina, Francesca
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2018

Further information

• DOI: doi:10.3390/econometrics6010006
• Handle: http://hdl.handle.net/10419/195443
• Last update: 10.03.2025, 11:43 AM CET