...
  • 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Empirical Economics >Inflation persistence, learning dynamics and the rationality of inflation expectations
【24h】

Inflation persistence, learning dynamics and the rationality of inflation expectations

机译：通货膨胀的持续性，学习动力和通货膨胀预期的合理性

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

The rational expectations hypothesis for survey and model-based inflation forecasts-from the Survey of Professional Forecasters and the Greenbook respectively-is examined by properly taking into account the persistence characteristics of the data. The finding of near-unit-root effects in the inflation and inflation expectations series motivates the use of a local-to-unity specification of the inflation process that enables us to test whether the data are generated by locally non-stationary or stationary processes. Thus, we test, rather than assume, stationarity of near-unit-root processes. The paper combines the concept of localities in the underlying time series, such as those that may exist in the sample but not in the population, with cointegra-tion analysis which permits the distinction between short-run and long-run structures. Thus, we examine possible in-sample departures from rationality both in the short run and the long run. Our empirical results indicate that the rational expectations hypothesis holds in the long run, while forecasters adjust their expectations slowly in the short run. This finding lends support to the hypothesis that the persistence of inflation comes from the dynamics of expectations.
机译：通过适当考虑数据的持久性特征，对分别来自《专业预测员的调查》和《绿皮书》的调查和基于模型的通货膨胀预测的理性预期假设进行了检验。在通货膨胀和通货膨胀预期系列中发现接近单位根的影响，促使使用通货膨胀过程的局部统一性规范，使我们能够测试数据是由局部非平稳过程还是固定过程生成。因此，我们测试而不是假设接近单位根进程的平稳性。本文将基础时间序列中的局部性概念（例如样本中可能存在但人口中不存在的局部性概念）与协整分析相结合，从而可以区分短期结构和长期结构。因此，无论短期还是长期，我们都检验样本是否可能偏离理性。我们的经验结果表明，从长远来看，理性预期假设成立，而预测者则在短期内缓慢调整其预期。这一发现为以下假设提供了支持：通货膨胀的持续性来自预期的动力。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号