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The dynamics of UK and US inflation expectations

Gefang, Deborah and Koop, Gary and Potter, Simon M. (2012) The dynamics of UK and US inflation expectations. Computational Statistics and Data Analysis, 56 (11). pp. 3120-3133. ISSN 0167-9473

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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.

Item Type: Article
Journal or Publication Title: Computational Statistics and Data Analysis
Uncontrolled Keywords: Bayesian ; Smoothly mixing regressions model ; Inflation pass through
Subjects: H Social Sciences > HB Economic Theory
Departments: Lancaster University Management School > Economics
ID Code: 39670
Deposited By: Deborah Gefang
Deposited On: 03 Feb 2011 09:16
Refereed?: Yes
Published?: Published
Last Modified: 09 Apr 2014 22:03
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/39670

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