Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
958601 | Journal of Empirical Finance | 2010 | 11 Pages |
Abstract
This paper investigates the relationship between short-term and long-term inflation expectations using daily data on inflation compensation derived from the term structure of real and nominal interest rates. We use a flexible econometric model which allows us to uncover this relationship in a data-based manner. We relate our findings to the issue of whether inflation expectations are anchored, unmoored or contained. Our empirical results indicate no support for either unmoored or firmly anchored inflation expectations. Most evidence indicates that inflation expectations are contained.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Markus Jochmann, Gary Koop, Simon M. Potter,