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Title:The Dynamics of European Inflation Expectations PDF Logo
Authors:Döpke, Jörg
Dovern, Jonas
Fritsche, Ulrich
Slacalek, Jirka
Issue Date:2006
Series/Report no.:DIW-Diskussionspapiere 571
Abstract:We investigate the relevance of the Carroll?s sticky information model of inflation expectations for four major European economies (France, Germany, Italy and the United Kingdom). Using survey data on household and expert inflation expectations we argue that the model adequately captures the dynamics of household inflation expectations. We estimate two alternative parametrizations of the sticky information model which differ in the stationarity assumptions about the underlying series. Our baseline stationary estimation suggests that the average frequency of information updating for the European households is roughly once in 18 months. The vector error-correction model implies households update information about once a year.
Subjects:Inflation expectations
sticky information
inflation persistence
JEL:E31
D84
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des DIW
Publikationen von Forscherinnen und Forschern des IfW
DIW-Diskussionspapiere

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