Updating inflation expectations

Michael J. Lamla · Samad Sarferaz

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Forecasting Techniques and Applications

Abstract

This paper investigates how inflation expectations evolve. In particular, we analyze the time-varying nature of the propensity to update expectations and its potential determinants. For this purpose we set up a flexible econometric model that tracks the formation of inflation expectations of consumers at each moment in time. We show that the propensity to update inflation expectations changes substantially over time and is related to the quantity and the quality of news.

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References

1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US 2007The Fox News Effect: Media Bias and Voting 2002Bayesian Analysis of Stochastic Volatility Models 2003Macroeconomic Expectations of Households and Professional Forecasters 2009Optimal Sticky Prices under Rational Inattention 2003Inflation Forecast Uncertainty 2005Monetary policy for inattentive economies

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