Arbeitspapier

European inflation expectations dynamics

This paper investigates the relevance of the sticky information model of Mankiw and Reis (2002) and Carroll (2003) for four major European economies (France, Germany, Italy and the United Kingdom). As opposed to the benchmark rational expectation models, households in the sticky information environment update their expectations sporadically rather than instantaneously owing to the costs of acquiring and processing information. We estimate two alternative parametrizations of the sticky information model which differ in the stationarity assumptions about the underlying series. Using survey data on households? and experts? inflation expectations, we find that the model adequately captures the dynamics of household inflation expectations. Both parametrizations imply comparable speeds of information updating for the European households as was previously found in the US, on average roughly once a year.

Language
Englisch

Bibliographic citation
Series: Discussion Paper Series 1 ; No. 2005,37

Classification
Wirtschaft
Price Level; Inflation; Deflation
Subject
Inflation
expectations
sticky information
inflation persistence
Inflationserwartung
Schätzung
Deutschland
Frankreich
Italien
Großbritannien
sticky information

Event
Geistige Schöpfung
(who)
Slacalek, Jirka
Fritsche, Ulrich
Dovern, Jonas
Döpke, Jörg
Event
Veröffentlichung
(who)
Deutsche Bundesbank
(where)
Frankfurt a. M.
(when)
2005

Handle
Last update
20.09.2024, 8:22 AM CEST

Data provider

This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.

Object type

  • Arbeitspapier

Associated

  • Slacalek, Jirka
  • Fritsche, Ulrich
  • Dovern, Jonas
  • Döpke, Jörg
  • Deutsche Bundesbank

Time of origin

  • 2005

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