Inflation expectations under level shifts in the inflation process

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.