European inflation expectations dynamics:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Frankfurt am Main
Deutsche Bank
2005
|
| Schriftenreihe: | Discussion paper
Series 1, Economic studies ; 2005,37 |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Zsfassung in dt. und engl. Sprache |
| Beschreibung: | 46 S. graph. Darst. |
| ISBN: | 3865580939 |
Internformat
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Datensatz im Suchindex
| _version_ | 1804135318636462080 |
|---|---|
| adam_text | Contents
1. Introduction 1
2 The epidemiology of household inflation expectations 3
3. Expectations data 4
4. Empirical results 5
4.1 Persistence of inflation and inflation expectations 5
4.2 The stationary case: Carroll (2003) model 8
4.3 The nonstationary case: Carroll (2003) model in vector error correction form... 15
5. Conclusions 18
References 19
Appendix I: Inflation Expectation Data 20
Expert forecasts 20
Household forecasts 20
Extracting household inflation expectations from the qualitative survey data 20
Appendix II: Detailed results of the epidemiology regressions 24
The stationary case 24
The non stationary case 33
Lists of Tables and Figures
Table 1: Unit root tests, 1989 IV to 2004 II 7
Table 2: Test for Granger non causality of expert s and household s expectations, 1989
IV to 2004 II 9
Table 3: Baseline Regressions epidemiology model, 1989 IV to 2004 II 11
Table 4: Baseline regressions epidemiology model, SUR Estimation, 1989 IV to 2004
II 13
Table 5: Testing cross equation restrictions 14
Table 6: Baseline regressions epidemiology model, VECM Estimation, 1989 IV to
2004II 16
Table A.I: Comparison of RMSEs of alternative inflation expectations 21
Table A.2a: Epidemiology regressions: Germany, stationary equation by equation
estimation 25
Table A.2b: Epidemiology regressions: France, stationary equation by equation
estimation 26
Table A.2c: Epidemiology regressions: Italy, stationary equation by equation estimation
27
Table A.2d: Epidemiology regressions: United Kingdom, stationary equation by
equation estimation 28
Table A.3a: Epidemiology regressions: Germany, stationary SUR estimation 29
Table A.3b: Epidemiology regressions: France, stationary SUR estimation 30
Table A.3c: Epidemiology regressions: Italy, stationary SUR estimation 31
Table A.3d: Epidemiology regressions: United Kingdom, stationary SUR estimation. 32
Table A.4: Tests for cointegration between household and expert expectations 33
Table A.5: Epidemiology regressions: VECM estimation 34
Table A.5, cont.: Epidemiology regressions: VECM estimation 35
Figure 1: Household and expert expectations and actual inflation 6
Figure A.I: Pentachotomous survey 21
Figure A.2: Comparison of alternative inflation expectations 23
|
| adam_txt |
Contents
1. Introduction 1
2 The epidemiology of household inflation expectations 3
3. Expectations data 4
4. Empirical results 5
4.1 Persistence of inflation and inflation expectations 5
4.2 The stationary case: Carroll (2003) model 8
4.3 The nonstationary case: Carroll (2003) model in vector error correction form. 15
5. Conclusions 18
References 19
Appendix I: Inflation Expectation Data 20
Expert forecasts 20
Household forecasts 20
Extracting household inflation expectations from the qualitative survey data 20
Appendix II: Detailed results of the epidemiology regressions 24
The stationary case 24
The non stationary case 33
Lists of Tables and Figures
Table 1: Unit root tests, 1989 IV to 2004 II 7
Table 2: Test for Granger non causality of expert's and household's expectations, 1989
IV to 2004 II 9
Table 3: Baseline Regressions epidemiology model, 1989 IV to 2004 II 11
Table 4: Baseline regressions epidemiology model, SUR Estimation, 1989 IV to 2004
II 13
Table 5: Testing cross equation restrictions 14
Table 6: Baseline regressions epidemiology model, VECM Estimation, 1989 IV to
2004II 16
Table A.I: Comparison of RMSEs of alternative inflation expectations 21
Table A.2a: Epidemiology regressions: Germany, stationary equation by equation
estimation 25
Table A.2b: Epidemiology regressions: France, stationary equation by equation
estimation 26
Table A.2c: Epidemiology regressions: Italy, stationary equation by equation estimation
27
Table A.2d: Epidemiology regressions: United Kingdom, stationary equation by
equation estimation 28
Table A.3a: Epidemiology regressions: Germany, stationary SUR estimation 29
Table A.3b: Epidemiology regressions: France, stationary SUR estimation 30
Table A.3c: Epidemiology regressions: Italy, stationary SUR estimation 31
Table A.3d: Epidemiology regressions: United Kingdom, stationary SUR estimation. 32
Table A.4: Tests for cointegration between household and expert expectations 33
Table A.5: Epidemiology regressions: VECM estimation 34
Table A.5, cont.: Epidemiology regressions: VECM estimation 35
Figure 1: Household and expert expectations and actual inflation 6
Figure A.I: Pentachotomous survey 21
Figure A.2: Comparison of alternative inflation expectations 23 |
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| illustrated | Illustrated |
| index_date | 2024-07-02T14:33:59Z |
| indexdate | 2024-07-09T20:38:36Z |
| institution | BVB |
| isbn | 3865580939 |
| language | English |
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| physical | 46 S. graph. Darst. |
| publishDate | 2005 |
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| publisher | Deutsche Bank |
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| series2 | Discussion paper : Series 1, Economic studies |
| spelling | European inflation expectations dynamics Jörg Döpke ... Frankfurt am Main Deutsche Bank 2005 46 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Discussion paper : Series 1, Economic studies 2005,37 Zsfassung in dt. und engl. Sprache Döpke, Jörg 1963- Sonstige (DE-588)113395841 oth Discussion paper Series 1, Economic studies ; 2005,37 (DE-604)BV017594637 2005,37 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014774598&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | European inflation expectations dynamics Discussion paper |
| title | European inflation expectations dynamics |
| title_auth | European inflation expectations dynamics |
| title_exact_search | European inflation expectations dynamics |
| title_exact_search_txtP | European inflation expectations dynamics |
| title_full | European inflation expectations dynamics Jörg Döpke ... |
| title_fullStr | European inflation expectations dynamics Jörg Döpke ... |
| title_full_unstemmed | European inflation expectations dynamics Jörg Döpke ... |
| title_short | European inflation expectations dynamics |
| title_sort | european inflation expectations dynamics |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014774598&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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