EconStor >
Federal Reserve Bank of New York >
Staff Reports, Federal Reserve Bank of New York >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/60940
  
Title:Fitting observed inflation expectations PDF Logo
Authors:Del Negro, Marco
Eusepi, Stefano
Issue Date:2010
Series/Report no.:Staff Report, Federal Reserve Bank of New York 476
Abstract:This paper provides evidence on the extent to which inflation expectations generated by a standard Christiano et al. (2005)/Smets and Wouters (2003)-type DSGE model are in line with what is observed in the data. We consider three variants of this model that differ in terms of the behavior of, and the public's information on, the central banks' inflation target, allegedly a key determinant of inflation expectations. We find that: 1) timevariation in the inflation target is needed to capture the evolution of expectations during the post-Volcker period; 2) the variant where agents have imperfect information is strongly rejected by the data; 3) inflation expectations appear to contain information that is not present in the other series used in estimation; and 4) none of the models fully captures the dynamics of this variable.
Subjects:Inflation expectations
imperfect information
Bayesian analysis
DSGE models
JEL:C32
E21
Document Type:Working Paper
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

Files in This Item:
File Description SizeFormat
641200064.pdf531.9 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/60940

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.