Cornea-Madeira, Adriana orcid.org/0000-0002-0889-7145 and Rodrigues Madeira, Joao Antonio orcid.org/0000-0002-7380-9009 (2022) Econometric analysis of switching expectations in UK inflation. Oxford Bulletin of Economics and Statistics. pp. 651-673. ISSN 0305-9049
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2021 Oxford University and John Wiley & Sons Ltd. 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) The University of York > Faculty of Social Sciences (York) > The York Management School |
Depositing User: | Pure (York) |
Date Deposited: | 01 Dec 2021 09:30 |
Last Modified: | 07 Jan 2025 00:14 |
Published Version: | https://doi.org/10.1111/obes.12479 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1111/obes.12479 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:181050 |
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