Uncertainty and disagreement of inflation expectations: Evidence from household-level qualitative survey responses
Journal of Forecasting
; 2021.
Article
in English
| Scopus | ID: covidwho-1576019
ABSTRACT
We propose a procedure that jointly estimates expectation, uncertainty, and disagreement using a flexible hierarchical ordered response model and individual-level qualitative data. Based on the Michigan survey of US consumers, our results reveal how their inflation expectations and the associated uncertainty are affected by various factors, including their perceptions of economic conditions, recollections of relevant news reports, and sociodemographic characteristics. An examination of the dynamics of inflation uncertainty and disagreement produces evidence in support of using the latter as a proxy of the former. However, our results also highlight important episodes (such as the start of the COVID pandemic) in which the two series diverge. © 2021 John Wiley & Sons, Ltd.
Full text:
Available
Collection:
Databases of international organizations
Database:
Scopus
Type of study:
Observational study
/
Qualitative research
Language:
English
Journal:
Journal of Forecasting
Year:
2021
Document Type:
Article
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