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The Dynamics of European Inflation Expectations
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Joerg Doepke
Veröffentlicht/Copyright:
13. März 2008
We investigate the relevance of Carroll's sticky information model of inflation expectations for four major European economies (France, Germany, Italy and the United Kingdom). In contrast to the most rational expectation models, households in the sticky information environment update their expectations occasionally rather than instantaneously due to the costs of acquiring and processing information. Using survey data on household and expert inflation expectations we argue that the model adequately captures the dynamics of household inflation expectations. We estimate two alternative parametrizations of the sticky information model which differ in the stationarity assumptions about the underlying series. Our baseline stationary estimation suggests that the average frequency of information updating for European households is roughly once in 18 months. The vector error-correction model implies households update information about once a year.
Published Online: 2008-3-13
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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Artikel in diesem Heft
- Topics Article
- The Importance of Industrial Policy in Quality-Ladder Growth Models
- The Evolution of International Output Differences (1970-2000): From Factors to Productivity
- Non-Linearities and Unit Roots in G7 Macroeconomic Variables
- Mitigating the Growth-Effects of Inflation through Financial Development
- The Dynamics of European Inflation Expectations
- Target Saving in an Overlapping Generations Model
- Inequality, Volatility and Labour Market Efficiency
- Expected Equity Returns and the Demand for Money
- Forecasting with DSGE Models: The Role of Nonlinearities
- Job Reallocation, Unemployment and Hours in a New Keynesian Model
- Consolidation of Student Loan Repayments and Default Incentives
- Advent of Industrial Mass Production: Three Stages of Economic Development
- The Japanese Depression in the Interwar Period: A General Equilibrium Analysis
- Determinants of Bilateral Remittance Flows
- Cyclical Behavior of Unemployment and Job Vacancies: A Comparison between Canada and the United States
- Economic and Socio-Political Determinants of de Facto Monetary Institutions and Inflationary Outcomes
- On Equilibrium Determinacy in New Keynesian Models with Staggered Wage and Price Setting
- Contributions Article
- Growth-Led Exports: Implications for the Cross-Country Effects of Shocks to Potential Output
- Monetary Policy and Fiscal Rules
- Choosing Longevity with Overlapping Generations: To Be or Not to Be in Diamond's Model
- Nonlinear Taylor Rules and Asymmetric Preferences in Central Banking: Evidence from the United Kingdom and the United States
- Baumol's Diseases: A Macroeconomic Perspective
- Employment Growth in the American Urban Hierarchy: Long Live Distance
- Endogenous Persistence and the Performance of Inertial Targeting Rules
- Unemployment, Imperfect Risk Sharing, and the Monetary Business Cycle
- Technological Progress and the Urbanization Process
- Convergence by Parts
- Estimating Returns to Schooling from State-Level Data: A Macro-Mincerian Approach
- Great Moderation(s) and US Interest Rates: Unconditional Evidence
- Advances Article
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