The common and specific components of inflation expectations across European countries

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

The common and specific components of inflation expectations across European countries

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

The common and specific components of inflation expectations across European countries

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2022

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Empirical Economics

ISSN

0377-7332

e-ISSN

1435-8921

Svazek periodika

62

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

AT - Rakouská republika

Počet stran výsledku

28

Strana od-do

553-580

Kód UT WoS článku

000625769100002

EID výsledku v databázi Scopus

2-s2.0-85102176405