Heterogeneity, learning and information stickiness in inflation expectations

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Standard

Heterogeneity, learning and information stickiness in inflation expectations. / Pfajfar, Damjan; Santoro, Emiliano.

I: Journal of Economic Behavior & Organization, Bind 75, Nr. 3, 2010, s. 426-444.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Pfajfar, D & Santoro, E 2010, 'Heterogeneity, learning and information stickiness in inflation expectations', Journal of Economic Behavior & Organization, bind 75, nr. 3, s. 426-444. https://doi.org/10.1016/j.jebo.2010.05.012

APA

Pfajfar, D., & Santoro, E. (2010). Heterogeneity, learning and information stickiness in inflation expectations. Journal of Economic Behavior & Organization, 75(3), 426-444. https://doi.org/10.1016/j.jebo.2010.05.012

Vancouver

Pfajfar D, Santoro E. Heterogeneity, learning and information stickiness in inflation expectations. Journal of Economic Behavior & Organization. 2010;75(3):426-444. https://doi.org/10.1016/j.jebo.2010.05.012

Author

Pfajfar, Damjan ; Santoro, Emiliano. / Heterogeneity, learning and information stickiness in inflation expectations. I: Journal of Economic Behavior & Organization. 2010 ; Bind 75, Nr. 3. s. 426-444.

Bibtex

@article{7d51148442094975a0a823589c5b5754,
title = "Heterogeneity, learning and information stickiness in inflation expectations",
abstract = "In this paper we propose novel techniques for the empirical analysis of adaptive learning and sticky information in inflation expectations. These methodologies are applied to the distribution of households{\textquoteright} inflation expectations collected by the University of Michigan Survey Research Center. To account for the evolution of the cross-section of inflation forecasts over time and measure the degree of heterogeneity in private agents{\textquoteright} forecasts, we explore time series of percentiles from the empirical distribution. Our results show that heterogeneity is pervasive in the process of inflation expectation formation. We identify three regions of the distribution that correspond to different underlying mechanisms of expectation formation: a static or highly autoregressive region on the left hand side of the median, a nearly rational region around the median and a fraction of forecasts on the right hand side of the median formed in accordance with adaptive learning and sticky information.",
keywords = "Adaptive learning, Sticky information, Survey expectations",
author = "Damjan Pfajfar and Emiliano Santoro",
note = "JEL classification: E31, C53, D80",
year = "2010",
doi = "10.1016/j.jebo.2010.05.012",
language = "English",
volume = "75",
pages = "426--444",
journal = "Journal of Economic Behavior & Organization",
issn = "0167-2681",
publisher = "Elsevier",
number = "3",

}

RIS

TY - JOUR

T1 - Heterogeneity, learning and information stickiness in inflation expectations

AU - Pfajfar, Damjan

AU - Santoro, Emiliano

N1 - JEL classification: E31, C53, D80

PY - 2010

Y1 - 2010

N2 - In this paper we propose novel techniques for the empirical analysis of adaptive learning and sticky information in inflation expectations. These methodologies are applied to the distribution of households’ inflation expectations collected by the University of Michigan Survey Research Center. To account for the evolution of the cross-section of inflation forecasts over time and measure the degree of heterogeneity in private agents’ forecasts, we explore time series of percentiles from the empirical distribution. Our results show that heterogeneity is pervasive in the process of inflation expectation formation. We identify three regions of the distribution that correspond to different underlying mechanisms of expectation formation: a static or highly autoregressive region on the left hand side of the median, a nearly rational region around the median and a fraction of forecasts on the right hand side of the median formed in accordance with adaptive learning and sticky information.

AB - In this paper we propose novel techniques for the empirical analysis of adaptive learning and sticky information in inflation expectations. These methodologies are applied to the distribution of households’ inflation expectations collected by the University of Michigan Survey Research Center. To account for the evolution of the cross-section of inflation forecasts over time and measure the degree of heterogeneity in private agents’ forecasts, we explore time series of percentiles from the empirical distribution. Our results show that heterogeneity is pervasive in the process of inflation expectation formation. We identify three regions of the distribution that correspond to different underlying mechanisms of expectation formation: a static or highly autoregressive region on the left hand side of the median, a nearly rational region around the median and a fraction of forecasts on the right hand side of the median formed in accordance with adaptive learning and sticky information.

KW - Adaptive learning

KW - Sticky information

KW - Survey expectations

U2 - 10.1016/j.jebo.2010.05.012

DO - 10.1016/j.jebo.2010.05.012

M3 - Journal article

VL - 75

SP - 426

EP - 444

JO - Journal of Economic Behavior & Organization

JF - Journal of Economic Behavior & Organization

SN - 0167-2681

IS - 3

ER -

ID: 33620614