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The dynamics of UK and US inflation expectations

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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The dynamics of UK and US inflation expectations. / Gefang, Deborah; Koop, Gary; Potter, Simon M.
In: Computational Statistics and Data Analysis, Vol. 56, No. 11, 11.2012, p. 3120-3133.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Gefang, D, Koop, G & Potter, SM 2012, 'The dynamics of UK and US inflation expectations', Computational Statistics and Data Analysis, vol. 56, no. 11, pp. 3120-3133. https://doi.org/10.1016/j.csda.2011.07.008

APA

Gefang, D., Koop, G., & Potter, S. M. (2012). The dynamics of UK and US inflation expectations. Computational Statistics and Data Analysis, 56(11), 3120-3133. https://doi.org/10.1016/j.csda.2011.07.008

Vancouver

Gefang D, Koop G, Potter SM. The dynamics of UK and US inflation expectations. Computational Statistics and Data Analysis. 2012 Nov;56(11):3120-3133. doi: 10.1016/j.csda.2011.07.008

Author

Gefang, Deborah ; Koop, Gary ; Potter, Simon M. / The dynamics of UK and US inflation expectations. In: Computational Statistics and Data Analysis. 2012 ; Vol. 56, No. 11. pp. 3120-3133.

Bibtex

@article{bfd3c416fcb24c0cac4a03fee78fb106,
title = "The dynamics of UK and US inflation expectations",
abstract = "The relationship between short term and long term inflation expectations in the US and the UK is investigated with a focus on inflation pass through (i.e. how changes in short term expectations affect long term expectations). An econometric methodology is used which allows for the uncovering of the relationship between inflation pass through and various explanatory variables. Empirical results are related to theoretical models of anchored, contained and unmoored inflation expectations. For neither country are anchored or unmoored inflation expectations found. For the US, contained inflation expectations are found. For the UK, empirical findings are not consistent with the specific model of contained inflation expectations presented here, but are consistent with a broader view of expectations being constrained by the existence of an inflation target.",
keywords = "Bayesian, Smoothly mixing regressions model , Inflation pass through",
author = "Deborah Gefang and Gary Koop and Potter, {Simon M.}",
year = "2012",
month = nov,
doi = "10.1016/j.csda.2011.07.008",
language = "English",
volume = "56",
pages = "3120--3133",
journal = "Computational Statistics and Data Analysis",
issn = "0167-9473",
publisher = "Elsevier",
number = "11",

}

RIS

TY - JOUR

T1 - The dynamics of UK and US inflation expectations

AU - Gefang, Deborah

AU - Koop, Gary

AU - Potter, Simon M.

PY - 2012/11

Y1 - 2012/11

N2 - The relationship between short term and long term inflation expectations in the US and the UK is investigated with a focus on inflation pass through (i.e. how changes in short term expectations affect long term expectations). An econometric methodology is used which allows for the uncovering of the relationship between inflation pass through and various explanatory variables. Empirical results are related to theoretical models of anchored, contained and unmoored inflation expectations. For neither country are anchored or unmoored inflation expectations found. For the US, contained inflation expectations are found. For the UK, empirical findings are not consistent with the specific model of contained inflation expectations presented here, but are consistent with a broader view of expectations being constrained by the existence of an inflation target.

AB - The relationship between short term and long term inflation expectations in the US and the UK is investigated with a focus on inflation pass through (i.e. how changes in short term expectations affect long term expectations). An econometric methodology is used which allows for the uncovering of the relationship between inflation pass through and various explanatory variables. Empirical results are related to theoretical models of anchored, contained and unmoored inflation expectations. For neither country are anchored or unmoored inflation expectations found. For the US, contained inflation expectations are found. For the UK, empirical findings are not consistent with the specific model of contained inflation expectations presented here, but are consistent with a broader view of expectations being constrained by the existence of an inflation target.

KW - Bayesian

KW - Smoothly mixing regressions model

KW - Inflation pass through

U2 - 10.1016/j.csda.2011.07.008

DO - 10.1016/j.csda.2011.07.008

M3 - Journal article

VL - 56

SP - 3120

EP - 3133

JO - Computational Statistics and Data Analysis

JF - Computational Statistics and Data Analysis

SN - 0167-9473

IS - 11

ER -