Název: Survey expectations, adaptive learning and inflation dynamics
Autoři: Rychalovska, Y. ; Slobodyan, Sergey ; Wouters, R.
Typ dokumentu: Výzkumné zprávy
Rok: 2024
Jazyk: eng
Edice: CERGE-EI Working Paper Series, svazek: 781
Abstrakt: The use of survey information on inflation expectations as an observable in a DSGE model can substantially refine identification of the shocks that drive inflation. Optimal integration of the survey information improves the model forecast for inflation and for other macroeconomic variables. Models with expectations based on an Adaptive Learning setup can exploit survey information more efficiently than their Rational Expectations counterparts. The resulting time-variation in the perceived inflation target, in inflation persistence, and in the sensitivity of inflation to various shocks provide a rich and consistent description of the joint dynamics of realized and expected inflation. Our framework produces a reasonable interpretation of the post-Covid inflation dynamics. Our learning model successfully identifies the more persistent nature of the recent inflation surge.
Klíčová slova: expectations; inflation; survey data

Instituce: Národohospodářský ústav AV ČR (web)
Informace o dostupnosti dokumentu: Dokument je dostupný na externích webových stránkách.
Externí umístění souboru: https://www.cerge-ei.cz/pdf/wp/Wp781.pdf
Původní záznam: https://hdl.handle.net/11104/0353404

Trvalý odkaz NUŠL: http://www.nusl.cz/ntk/nusl-614326