Português
Ciência-IUL
Publications
Publication Detailed Description
Econometric analysis of switching expectations in UK inflation*
Journal Title
Oxford Bulletin of Economics and Statistics
Year (definitive publication)
2022
Language
English
Country
United States of America
More Information
Web of Science®
Scopus
Google Scholar
Abstract
We estimate with UK data a Phillips curve model with backward-looking and forward-looking methods of determining inflation expectations and with agents switching between these based on their recent performance. We find that, while on average backward-looking and forward-looking methods have about equal weight, there are considerable movements in the weight given to each method. We show this model has better in-sample fit than other Phillips curve models and this is robust to the methodology chosen. The model out-of-sample forecasts on certain dates do better than other Phillips curve models and the Atkeson and Ohanian model.
Acknowledgements
--
Keywords
Fields of Science and Technology Classification
- Mathematics - Natural Sciences
- Economics and Business - Social Sciences
- Sociology - Social Sciences
- Other Social Sciences - Social Sciences
Contributions to the Sustainable Development Goals of the United Nations
With the objective to increase the research activity directed towards the achievement of the United Nations 2030 Sustainable Development Goals, the possibility of associating scientific publications with the Sustainable Development Goals is now available in Ciência-IUL. These are the Sustainable Development Goals identified by the author(s) for this publication. For more detailed information on the Sustainable Development Goals, click here.
