Original title: Survey expectations, adaptive learning and inflation dynamics
Authors: Rychalovska, Y. ; Slobodyan, Sergey ; Wouters, R.
Document type: Research reports
Year: 2024
Language: eng
Series: CERGE-EI Working Paper Series, volume: 781
Abstract: 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.
Keywords: expectations; inflation; survey data

Institution: Economics Institute AS ČR (web)
Document availability information: Fulltext is available at external website.
External URL: https://www.cerge-ei.cz/pdf/wp/Wp781.pdf
Original record: https://hdl.handle.net/11104/0353404

Permalink: http://www.nusl.cz/ntk/nusl-614326


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