Konferenzbeitrag
International Transmissions of Inflation Expectations in a Markov Switching Structural VAR Model
This paper extends the discussion of international comovements of actual inflation rates to inflation expectations. Financial market expectations about inflation rates in the United States (US) and Euro Area (EA) are modeled in a structural vector autoregression (SVAR). We demonstrate how the heteroscedasticity of the expectations data enables a flexible and data-driven statistical identification of the model. A multi-step procedure is proposed to explore the economic nature and geographical source of structural shocks. We emphasize the SVAR s ability to derive shocks that disentangle US specific, EA specific and global components. Our main empirical finding indicates that so-called global inflation translates to short horizon inflation expectations. In contrast, long expectations horizons are mostly driven by domestic shocks, thus, appear rather local. Results support the view of credible monetary policy strategies that anchor inflation expectations.
- Sprache
-
Englisch
- Erschienen in
-
Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2015: Ökonomische Entwicklung - Theorie und Politik - Session: International business cycles ; No. A03-V1
- Klassifikation
-
Wirtschaft
Price Level; Inflation; Deflation
International Policy Coordination and Transmission
Monetary Policy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Winkelmann, Lars
Netsunajev, Aleksei
- Ereignis
-
Veröffentlichung
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:41 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Konferenzbeitrag
Beteiligte
- Winkelmann, Lars
- Netsunajev, Aleksei
Entstanden
- 2015
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