EFFECTS OF INFLATION EXPECTATIONS ON INFLATION

Richhild Moessner

11 citations0/0 files storedNational Institute Economic Review

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Monetary Policy and Economic Impact Market Dynamics and Volatility Economic theories and models

Abstract

Abstract We study the effects of professionals’ survey-based inflation expectations on inflation for a large number of 36 economies, using dynamic cross-country panel estimation of New-Keynesian Phillips curves. We find that inflation expectations have a significantly positive effect on inflation. We also find that the effect of inflation expectations on inflation is significantly larger when inflation is higher. This suggests that second-round effects via the effects of higher inflation expectations on inflation are more relevant in a high-inflation environment.

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References

1998Initial conditions and moment restrictions in dynamic panel data models 1995Another look at the instrumental variable estimation of error-components models 1995Initial conditions and moment restrictions in dynamic panel data models 1999The Science of Monetary Policy: A New Keynesian Perspective 2005Estimation and Inference of Impulse Responses by Local Projections 1999Inflation dynamics: A structural econometric analysis 2015Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts 2012What Can Survey Forecasts Tell Us about Information Rigidities?

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