The common and specific components of inflation expectations across European countries
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F22%3A10489889" target="_blank" >RIV/00216208:11320/22:10489889 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=Ump1N6vzpv" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=Ump1N6vzpv</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s00181-021-02027-1" target="_blank" >10.1007/s00181-021-02027-1</a>
Alternative languages
Result language
angličtina
Original language name
The common and specific components of inflation expectations across European countries
Original language description
Inflation expectations (IEs) are often considered to be an important determinant of actual inflation in modern economic theory. This paper studies IE estimates across several European countries, focusing particularly on the key factors that determine the IE dynamics. We first use an arbitrage-free term structure model with both nominal and inflation-indexed bond yields to efficiently obtain the estimates for country-specific IEs. Second, we study the common and specific components of IE estimates in a multi-country factor model framework. We find that the estimated common IE component is an important driver for each country of interest especially for those EMU countries and can be used by central banks as a tool to help anchor IEs and enhance the conduct of monetary policy.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50201 - Economic Theory
Result continuities
Project
—
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Empirical Economics
ISSN
0377-7332
e-ISSN
1435-8921
Volume of the periodical
62
Issue of the periodical within the volume
2
Country of publishing house
AT - AUSTRIA
Number of pages
28
Pages from-to
553-580
UT code for WoS article
000625769100002
EID of the result in the Scopus database
2-s2.0-85102176405