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The Joint Dynamics of U.S. And Euro-Area Inflation Rates: Expectations and Timevarying Uncertainty
| Content Provider | Scilit |
|---|---|
| Author | Grishchenko, Olesya V. Mouabbi, Sarah Renne, Jean-Paul |
| Copyright Year | 2017 |
| Description | Journal: SSRN Electronic Journal We use several U.S. and euro-area surveys of professional forecasters to estimate a dynamic factor model of inflation with time-varying uncertainty. We obtain survey-consistent distributions of future inflation at any horizon, both in the United States and in the euro area. Our methodology allows us to compute, in closed form, survey-consistent measures of inflation expectations, inflation uncertainty, inflation expectations anchoring, deflation probabilities and U.S. and euro-area inflation co-movements. Our results suggest strong commonalities between inflation dynamics in the two economies. |
| Related Links | https://publications.banque-france.fr/sites/default/files/medias/documents/document-de-travail_622_2017.pdf.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2952315 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.2952315 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2017-02-01 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Mathematical Social Sciences Inflation Expectations Survey Consistent |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
