Estimating Unobservable Inflation Expectations in the New Keynesian Phillips Curve

Econometrics

Francesca Rondina¹ 

[1] Department of Economics, University of Ottawa, 120 University Private, Ottawa, ON K1N 6N5, Canada;

关键词: Phillips curve;    expectations;    survey data;    Bayesian estimation;   

DOI  :  10.3390/econometrics6010006

来源: DOAJ

【 摘 要 】

This paper uses an econometric model and Bayesian estimation to reverse engineer the path of inflation expectations implied by the New Keynesian Phillips Curve and the data. The estimated expectations roughly track the patterns of a number of common measures of expected inflation available from surveys or computed from financial data. In particular, they exhibit the strongest correlation with the inflation forecasts of the respondents in the University of Michigan Survey of Consumers. The estimated model also shows evidence of the anchoring of long run inflation expectations to a value that is in the range of the target inflation rate.

【 授权许可】

Unknown