Wang, Weining (2021) The common and specific components of inflation expectation across European countries. Empirical Economics. ISSN 0377-7332
Abstract
Inflation expectation (IE) is often considered to be an important determinant of actual inflation in modern economic theory, we are interested in investigating the main risk factors that determine its dynamics. We first apply a joint arbitrage-free term structure model across different European countries to obtain estimate for country-specific IE. Then we use the two-component and three-component models to capture the main risk factors. We discover that the extracted common trend for IE is an important driver for each country of interest. Moreover a spatialtemporal copula model is fitted to account for the non-Gaussian dependency across countries. This paper aims to extract informative estimates for IE and provide good implications for monetary policies.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York) |
Depositing User: | Pure (York) |
Date Deposited: | 26 Jan 2021 15:40 |
Last Modified: | 17 Dec 2024 00:18 |
Published Version: | https://doi.org/10.1007/s00181-021-02027-1 |
Status: | Published online |
Refereed: | Yes |
Identification Number: | 10.1007/s00181-021-02027-1 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:170509 |