Inflation expectations under level shifts in the inflation process

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Title: Inflation expectations under level shifts in the inflation process
Author: Kaliva, Kasimir
Organization: Vakuutusvalvontavirasto
Insurance Supervisory Authority
Series: Insurance Supervisory Authority. Research report
Series number: 1
Year of publication: 2006
Publication date: 15.1.2006
Pages: 23
Subject (yso): inflaatio; odotukset; ekonometriset mallit
Other keywords: level shifts; survey forecasters; conservative expectations; MAR model
Abstract: The aimof this paper is to study the dynamics of inflation and survey inflation expectations under sudden random level shifts in the inflation process. We suggest that the recently introduced mixture autoregressive MAR model is suitable for modelling this kind of behaviour. We arrived a a model where the inflation expectations are not fully rational in a sense that survey participants of the Livingston Survey adjust their expectations too conservatively in response to new evidence.Tutkimus käsittelee inflaatioprosessia. Inflaatio on keskeinen riskitekijä sekä vakuutustoiminnassa että sijoitustoiminnassa.

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