Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/195443
Authors: 
Rondina, Francesca
Year of Publication: 
2018
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 6 [Year:] 2018 [Issue:] 1 [Pages:] 1-20
Abstract: 
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.
Subjects: 
Phillips curve
expectations
survey data
Bayesian estimation
JEL: 
C1
E3
E5
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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