Measuring Inflation Expectations Uncertainty Using High-Frequency Data

Chan, JCC; Song, Y

Measuring Inflation Expectations Uncertainty Using High-Frequency Data

Chan, JCC

Song, Y

Permalink

Publication Type:: Journal Article
Citation:: Journal of Money, Credit and Banking, 2018, 50 (6), pp. 1139 - 1166
Issue Date:: 2018-09-01

Closed Access

	Filename	Description	Size
	CHAN_et_al-2018-Journal_of_Money,_Credit_and_Banking.pdf	Published Version	506.57 kB	Adobe PDF	View/Open

Copyright Clearance Process

Recently Added
In Progress
Closed Access

This item is closed access and not available.

Full metadata record

Field	Value	Language
dc.contributor.author	Chan, JCC https://orcid.org/0000-0003-3632-128X	en_US
dc.contributor.author	Song, Y	en_US
dc.date.issued	2018-09-01	en_US
dc.identifier.citation	Journal of Money, Credit and Banking, 2018, 50 (6), pp. 1139 - 1166	en_US
dc.identifier.issn	0022-2879	en_US
dc.identifier.uri	http://hdl.handle.net/10453/130364
dc.description.abstract	© 2018 The Ohio State University Inflation expectations play a key role in determining future economic outcomes. The associated uncertainty provides a direct gauge of how well-anchored the inflation expectations are. We construct a model-based measure of inflation expectations uncertainty by augmenting a standard unobserved components model of inflation with information from noisy and possibly biased measures of inflation expectations obtained from financial markets. This new model-based measure of inflation expectations uncertainty is more accurately estimated and can provide valuable information for policymakers. Using U.S. data, we find significant changes in inflation expectations uncertainty during the Great Recession.	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.12498	en_US
dc.subject.classification	Economics	en_US
dc.title	Measuring Inflation Expectations Uncertainty Using High-Frequency Data	en_US
dc.type	Journal Article
utslib.citation.volume	6	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	closed_access
pubs.issue	6	en_US
pubs.publication-status	Published	en_US
pubs.volume	50	en_US

Abstract:

© 2018 The Ohio State University Inflation expectations play a key role in determining future economic outcomes. The associated uncertainty provides a direct gauge of how well-anchored the inflation expectations are. We construct a model-based measure of inflation expectations uncertainty by augmenting a standard unobserved components model of inflation with information from noisy and possibly biased measures of inflation expectations obtained from financial markets. This new model-based measure of inflation expectations uncertainty is more accurately estimated and can provide valuable information for policymakers. Using U.S. data, we find significant changes in inflation expectations uncertainty during the Great Recession.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/130364