Essays on inflation uncertainty and inflation expectations:
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| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
2013
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| Subjects: | |
| Online Access: | Volltext http://d-nb.info/1047062429/34 kostenfrei Inhaltsverzeichnis |
| Physical Description: | VII, 117 S. graph. Darst. |
| Format: | Langzeitarchivierung gewährleistet, LZA |
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Record in the Search Index
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|---|---|
| adam_text | CONTENTS
PREFACE 1
1 INFLATION UNCERTAINTY REVISITED: A PROPOSAL FOR ROBUST MEA
SUREMENT 6
1.1 INTRODUCTION 6
1.2 INDIVIDUAL MEASURES OF INFLATION UNCERTAINTY 9
1.2.1 SURVEY-BASED MEASURES 9
1.2.2 FORECAST-BASED MEASURES 10
1.2.3 MODEL-BASED MEASURES 12
1.2.3.1 CONDITIONAL FORECAST ERROR VARIANCE 12
1.2.3.2 STOCHASTIC VOLATILITY 13
1.3 CHARACTERISTICS OF UNCERTAINTY MEASURES 13
1.3.1 DESCRIPTIVE ANALYSIS 13
1.3.2 COMMON CHARACTERISTICS 17
1.3.3 GROUP-SPECIFIC CHARACTERISTICS 19
1.3.4 COMPARISON TO SPF INFLATION UNCERTAINTY 23
1.4 THE LINK BETWEEN INFLATION AND INFLATION UNCERTAINTY 24
1.5 CONCLUDING REMARKS 29
ACKNOWLEDGMENTS 30
APPENDIX 31
I
HTTP://D-NB.INFO/1048597652
L.A.L DATASET TO ESTIMATE FORECAST-BASED MEASURES 31
1.A.2 USING REAL-TIME DATA 32
1.A.3 HOW STRONGLY DO INDIVIDUAL MEASURES DISAGREE
? 33
1.A.4 UNCERTAINTY INDICATOR FOR THE PERIOD 1970-1995 34
1.A.5 DESCRIPTION OF ECONOMIC VARIABLES 36
1.A.6 COMPARISON OF INDIVIDUAL UNCERTAINTY MEASURES TO SPF IN
FLATION UNCERTAINTY 37
1.A.7 SENSITIVITY OF GRANGER CAUSALITY TESTS 38
1.A.8 EXCLUDING THE RECENT CRISIS FROM THE SAMPLE 39
1.A.9 ALTERNATIVE VAR SPECIFICATIONS 41
1.A.10 IMPULSE RESPONSES OF INDIVIDUAL UNCERTAINTY MEASURES ... 42
2 SYNCHRONIZATION AND CHANGES IN INTERNATIONAL INFLATION UNCER
TAINTY 43
2.1 INTRODUCTION 43
2.2 MEASURING INFLATION UNCERTAINTY 46
2.3 SYNCHRONIZATION OF INFLATION UNCERTAINTY IN THE G7 49
2.4 THE FACTOR-STRUCTURAL VAR MODEL 53
2.5 EMPIRICAL RESULTS 54
2.5.1 HOW IMPORTANT ARE INTERNATIONAL SHOCKS TO INFLATION UNCER
TAINTY? 55
2.5.2 IMPULSE RESPONSE ANALYSIS 57
2.5.3 INTERPRETATION OF THE INTERNATIONAL SHOCK 61
2.5.4 CHANGES IN THE DYNAMICS OF INTERNATIONAL INFLATION UNCER
TAINTY 62
2.6 CONCLUDING REMARKS 68
II
ACKNOWLEDGMENTS 69
APPENDIX 69
2.A.1 OUTLIER ADJUSTMENT 69
2.A.2 DYNAMIC CORRELATIONS AMONG COUNTRY PAIRS 70
2.A.3 TESTING FOR CHANGES IN CORRELATIONS AMONG COUNTRY PAIRS . . 71
2.A.4 NUMBER OF COMMON FACTORS IN THE FSVAR MODEL 72
2.A.5 FINANCIAL MARKET UNCERTAINTY AND THE COMMON SHOCK ... 73
3 THE PROCESS OF EXPECTATIONS FORMATION AND THE ECONOMIC PROB
LEM INFLATION : EVIDENCE FROM THE WORLD ECONOMIC SURVEY 74
3.1 INTRODUCTION 74
3.2 MODELS OF IMPERFECT INFORMATION 77
3.3 THE WES DATA 79
3.4 TESTING THE INFLATION EXPECTATIONS PROCESS OF WES FORECASTERS ... 83
3.5 TESTING FOR STATE-DEPENDENCE IN INFLATION EXPECTATIONS 87
3.5.1 SUBJECTIVE ASSESSMENT OF THE ECONOMIC PROBLEM INFLATION 88
3.5.2 LEVEL OF EXPECTED TREND INFLATION AND PAST INFLATION .... 95
3.6 CONCLUDING REMARKS 96
APPENDIX 98
3.A.1 WORDING OF WES QUESTIONS 98
3.A.2 COMPARISON OF UK WES FORECASTS TO CPI AND RPI INFLATION
100
3.A.3 DESCRIPTIVE STATISTICS ON ECONOMIC PROBLEMS 101
3.A.4 DESCRIPTION OF INFLATION DATA AND THE UC-SV MODEL .... 102
BIBLIOGRAPHY 105
III
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| dewey-ones | 330 - Economics |
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| discipline | Wirtschaftswissenschaften |
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| spelling | Wieland, Elisabeth Verfasser aut Essays on inflation uncertainty and inflation expectations Elisabeth Wieland 2013 VII, 117 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier München, Univ., Diss., 2013 Langzeitarchivierung gewährleistet, LZA (DE-588)4113937-9 Hochschulschrift gnd-content Erscheint auch als Online-Ausgabe urn:nbn:de:bvb:19-165216 https://nbn-resolving.org/urn:nbn:de:bvb:19-165216 Resolving-System kostenfrei Volltext http://d-nb.info/1047062429/34 Langzeitarchivierung Nationalbibliothek http://edoc.ub.uni-muenchen.de/16521/ Verlag kostenfrei DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027207301&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Wieland, Elisabeth Essays on inflation uncertainty and inflation expectations |
| subject_GND | (DE-588)4113937-9 |
| title | Essays on inflation uncertainty and inflation expectations |
| title_auth | Essays on inflation uncertainty and inflation expectations |
| title_exact_search | Essays on inflation uncertainty and inflation expectations |
| title_full | Essays on inflation uncertainty and inflation expectations Elisabeth Wieland |
| title_fullStr | Essays on inflation uncertainty and inflation expectations Elisabeth Wieland |
| title_full_unstemmed | Essays on inflation uncertainty and inflation expectations Elisabeth Wieland |
| title_short | Essays on inflation uncertainty and inflation expectations |
| title_sort | essays on inflation uncertainty and inflation expectations |
| topic_facet | Hochschulschrift |
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