کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098896 | 1376968 | 2011 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Decomposing the declining volatility of long-term inflation expectations
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
The level and volatility of survey-based measures of long-term inflation expectations have come down dramatically over the past several decades. To capture these changes in inflation dynamics, we embed both short- and long-term expectations into a medium-scale VAR model with stochastic volatility. The model estimates attribute most of the marked decline in the volatility of expectations to smaller shocks to long-run inflation expectations. According to our estimates, the volatility of shocks plummeted in the early to mid-1980s, moved to a somewhat higher level that prevailed for much of the 1990s, and then declined to and remained at very low levels.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 35, Issue 7, July 2011, Pages 981-999
Journal: Journal of Economic Dynamics and Control - Volume 35, Issue 7, July 2011, Pages 981-999
نویسندگان
Todd E. Clark, Troy Davig,