A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations

Chan, JCC; Clark, TE; Koop, G

A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations

Chan, JCC

Clark, TE Koop, G

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Publication Type:: Journal Article
Citation:: Journal of Money, Credit and Banking, 2018, 50 (1), pp. 5 - 53
Issue Date:: 2018-02-01

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Field	Value	Language
dc.contributor.author	Chan, JCC https://orcid.org/0000-0003-3632-128X	en_US
dc.contributor.author	Clark, TE	en_US
dc.contributor.author	Koop, G	en_US
dc.date.available	2020-05-25T19:15:13Z
dc.date.issued	2018-02-01	en_US
dc.identifier.citation	Journal of Money, Credit and Banking, 2018, 50 (1), pp. 5 - 53	en_US
dc.identifier.issn	0022-2879	en_US
dc.identifier.uri	http://hdl.handle.net/10453/128154
dc.description.abstract	© 2018 The Ohio State University This paper develops a bivariate model of inflation and a survey-based long-run forecast of inflation that allows for the estimation of the link between trend inflation and the long-run forecast. Thus, our model allows for the possibilities that long-run forecasts taken from surveys can be equated with trend inflation, that the two are completely unrelated, or anything in between. Using a variety of inflation measures and survey-based forecasts for several countries, we find that long-run forecasts can provide substantial help in refining estimates and fitting and forecasting inflation. It is less helpful to simply equate trend inflation with the long-run forecasts.	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP170101283
dc.relation.ispartof	Journal of Money, Credit and Banking	en_US
dc.relation.isbasedon	10.1111/jmcb.12452	en_US
dc.subject.classification	Economics	en_US
dc.title	A New Model of Inflation, Trend Inflation, and Long-Run Inflation Expectations	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	50	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.for	1401 Economic Theory	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Economics Discipline
utslib.copyright.status	open_access
pubs.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	50	en_US

Abstract:

© 2018 The Ohio State University This paper develops a bivariate model of inflation and a survey-based long-run forecast of inflation that allows for the estimation of the link between trend inflation and the long-run forecast. Thus, our model allows for the possibilities that long-run forecasts taken from surveys can be equated with trend inflation, that the two are completely unrelated, or anything in between. Using a variety of inflation measures and survey-based forecasts for several countries, we find that long-run forecasts can provide substantial help in refining estimates and fitting and forecasting inflation. It is less helpful to simply equate trend inflation with the long-run forecasts.

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http://hdl.handle.net/10453/128154