Download or read book Measuring Inflation Expectations Uncertainty Using High Frequency Data written by Joshua Chan and published by . This book was released on 2017 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation expectations play a key role in determining future economic outcomes. The associated uncertainty provides a direct gauge of how well-anchored the inflation expectations are. We construct a model-based measure of inflation expectations uncertainty by augmenting a standard unobserved components model of inflation with information from noisy and possibly biased measures of inflation expectations obtained from financial markets. This new model-based measure of inflation expectations uncertainty is more accurately estimated and can provide valuable information for policymakers. Using US data, we find significant changes in inflation expectations uncertainty during the Great Recession.
Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Download or read book Time frequency Relationship Between Inflation and Inflation Uncertainty for the U S written by Claudiu Tiberiu Albulescu and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Measuring Uncertainty Based on Rounding written by Carola Binder and published by . This book was released on 2017 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although uncertainty plays an important role in economic decisionmaking, empirical measures of individuals' uncertainty are rare. The literature on cognition and communication documents that people use round numbers to convey uncertainty. This paper introduces a method of quantifying the uncertainty associated with round responses in survey data, allowing construction of micro-level uncertainty measures from pre-existing data. I construct a measure of inflation uncertainty since 1978 and provide support for its validity. Mean inflation uncertainty is countercyclical and correlated with inflation disagreement, inflation volatility, and the Economic Policy Uncertainty index. Inflation uncertainty is lowest among high-income consumers, college graduates, males, and stock market investors. More uncertain consumers are more reluctant to spend on durables, cars, and homes. Round number responses are common on a variety of other surveys, suggesting applications of this method for measuring uncertainty about other variables.
Download or read book Measuring Inflation Expectations written by Christoph Becker and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In density forecasts, respondents are asked to assign probabilities to a response scale with pre-specified ranges of inflation. In two large-scale experiments, one conducted in the US and one in Germany, we show how the specifics of the response scale determine the responses: Shifting, compressing, or expanding the scale leads to shifted, compressed, and expanded forecasts. Mean forecast, uncertainty, and disagreement vary by several percentage points. The findings have implications for survey design and for central banks' optimal adjustment of the response scales during times of high inflation.
Download or read book The Case for Higher Frequency Inflation Expectations written by Giselle Guzman and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Surveys of Consumers. While these measures have been useful in developing models of forecasting inflation, the data are low frequency measures that are anachronistic in the modern era of high frequency and real-time data. I present a collection of 37 different measures of inflation expectations, including many previously unexploited monthly and real-time measures of inflation expectations. These higher frequency measures tend to outperform the standard three low frequency survey measures in tests of accuracy, predictive power, and rationality, indicating that there are benefits to using higher frequency measures of inflation expectations. Out of sample forecasts confirm the findings.
Download or read book Measuring Inflation Expectations Using Interval coded Data written by Yasutomo Murasawa and published by . This book was released on 2010 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Inflation News and Euro Area Inflation Expectations written by Juan Angel Garcia and published by International Monetary Fund. This book was released on 2018-07-19 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: Do euro area inflation expectations remain well-anchored? This paper finds that the protracted period of low (and below-target) inflation in the euro area since 2013 has weakened their anchoring. Testing their sensitivity to inflation and macroeconomic news, this paper expands existing results in two key dimensions. First, by analyzing all available (advanced) inflation releases. Second, the reactions of expectations are investigated at daily, time-varying and intraday frequency regressions to add robustness to our conclusions. Results point to a significant impact of inflation news over recent years that had not been observed before in the euro area.
Download or read book Tips from TIPS written by Stefania D'Amico and published by . This book was released on 2008 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the informational content of TIPS yields from the viewpoint of a general 3-factor no-arbitrage term structure model of inflation and interest rates. Our empirical results indicate that TIPS yields contained a "liquidity premium" that was until recently quite large (1%). Key features of this premium are difficult to account for in a rational pricing framework, suggesting that TIPS may not have been priced efficiently in its early years. Besides the liquidity premium, a time-varying inflation risk premium complicates the interpretation of the TIPS breakeven inflation rate (the difference between the nominal and TIPS yields). Nonetheless, high-frequency variation in the TIPS breakeven rates is similar to the variation in inflation expectations implied by the model, lending support to the view that TIPS breakeven inflation rates are a useful proxy for inflation expectations.
Download or read book The Behavioral Economics of Inflation Expectations written by Tobias F. Rötheli and published by Cambridge University Press. This book was released on 2020-08-13 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: As one of the first texts to take a behavioral approach to macroeconomic expectations, this book introduces a new way of doing economics. Rötheli uses cognitive psychology in a bottom-up method of modeling macroeconomic expectations. His research is based on laboratory experiments and historical data, which he extends to real-world situations. Pattern extrapolation is shown to be the key to understanding expectations of inflation and income. The quantitative model of expectations is used to analyze the course of inflation and nominal interest rates in a range of countries and historical periods. The model of expected income is applied to the analysis of business cycle phenomena such as the great recession in the United States. Data and spreadsheets are provided for readers to do their own computations of macroeconomic expectations. This book offers new perspectives in many areas of macro and financial economics.
Download or read book NBER Macroeconomics Annual 2003 written by Mark Gertler and published by Mit Press. This book was released on 2004 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: The NBER Macroeconomics Annual presents pioneering work in macroeconomics by leading academic researchers to an audience of public policymakers and the academic community. Each commissioned paper is followed by comments and discussion. This year's edition provides a mix of cutting-edge research and policy analysis on such topics as productivity and information technology, the increase in wealth inequality, behavioral economics, and inflation.
Download or read book Indirect Consumer Inflation Expectations written by Ina Hajdini and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Measuring Inflation Anchoring and Uncertainty written by Olesya V. Grishchenko and published by . This book was released on 2017 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use several US and euro-area surveys of professional forecasters to estimate a dynamic factor model of inflation featuring time-varying uncertainty. We obtain survey-consistent distributions of future inflation at any horizon, both in the US and the euro area. Equipped with this model, we propose a novel measure of the anchoring of inflation expectations that accounts for inflation uncertainty. Our results suggest that following the Great Recession, inflation anchoring improved in the US, while mild de-anchoring occurred in the euro-area. As of our sample end, both areas appear to be equally anchored.
Download or read book Measuring Inflation Expectations written by Jan Marc Berk and published by . This book was released on 1997 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Measuring Inflation Expectations written by J. M. Berk and published by . This book was released on 1999 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Measuring Consumer Uncertainty about Future Inflation written by Wändi Bruine de Bruin and published by . This book was released on 2009 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Survey measures of consumer inflation expectations have an important shortcoming in that, while providing useful summary measures of the distribution of point forecasts across individuals, they contain no direct information about an individual's uncertainty about future inflation. The latter is important not only for forecasting inflation and other macroeconomic outcomes, but also for assessing a central bank's credibility and effectiveness of communication. This paper explores the feasibility of eliciting individual consumers' subjective probability distributions of future inflation outcomes. In November 2007, we began administering web-based surveys to participants in RAND's American Life Panel. In addition to their point predictions, respondents were asked for their subjective assessments of the percentage chance that inflation will fall in each of several predetermined intervals. We find that our measures of individual forecast densities and uncertainty are internally consistent and reliable. Those who are more uncertain about year-ahead price inflation are also generally more uncertain about longer term price inflation and future wage changes. We find also that participants expressing higher uncertainty in their density forecasts make larger revisions to their point forecasts over time. Measures of central tendency derived from individual density forecasts are highly correlated with point forecasts, but they usually differ, often substantially, at the individual level. Finally, we relate our direct measure of aggregate consumer uncertainty to a more conventional approach that uses disagreement among individual forecasters, as seen in the dispersion of their point forecasts, as a proxy for forecast uncertainty. Although the two measures are positively correlated, our results suggest that disagreement and uncertainty are distinct concepts, both relevant to the analysis of inflation expectations.
Download or read book Measuring Inflation Expectations Using Phillips Curve Models written by Adriana Cornea-Madeira and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This case study is based on original research conducted by us on the estimation of the Phillips curve (which establishes a relation between inflation and the level of aggregate economic activity) with UK data. This case study will address the following methodological/practical challenges: (1) choice of driving variable in estimation of Phillips curve models and in obtaining measures of fundamental inflation; (2) finding instruments to deal with endogeneity bias in estimation of Phillips curve models; (3) comparing models using selection techniques that balance goodness of fit with simplicity; and (4) assessment of inflation forecast accuracy. Lessons (1)-(4) are applicable to anyone doing empirical research on inflation dynamics. Lessons (1)-(4) are also all applicable to those studying monetary policy, fiscal policy, and business cycles. Lesson (2) is also applicable to the study of most economic relationships, while lessons (3) and (4) are also applicable to the study of time series in general.
