Does self-fulfilment of the inflation expectation exist?

Does self-fulfilment of the inflation expectation exist?

作者:Xu, YY(Xu, Yingying)^[1];Liu, ZX(Liu, Zhi-Xin)^[1];Chang, HL(Chang, Hsu-Ling)^[2];Peculea, AD(Peculea, Adelina Dumitrescu)^[3];Su, CW(Su, Chi-Wei)^[4]

APPLIED ECONOMICS

DOI: 10.1080/00036846.2016.1210781

出版年: MAR 2017

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This study examines the causal relationship between the actual and expected inflation in the U.S., using the bootstrap Granger full-sample causality test and sub-sample rolling-window estimation test to illustrate the self-fulfilment of inflation expectations. The full-sample result indicates that there is a bidirectional causality between the actual and expected inflation, showing the possibility of self-fulfilment of inflation expectations which illustrates that inflation is driven by inflation expectation. However, considering structural changes in two series, we find that the short-run causal nexus between the actual and expected inflation using full-sample data are fraudulent. By adopting a time-varying rolling-window approach to revisiting the dynamic causal relationships, this article identifies that the actual inflation has both positive and negative impacts on the expected inflation in distinct sub-periods. Nevertheless, inflation expectation exerts only negative effects on the actual inflation. The results point out that the self-fulfilment of inflation expectations does not exist. Given the bidirectional nexus between the actual and expected inflation, keeping a low and stable inflation is critical to price stability and anchoring of inflation expectation.

作者关键词:Inflation;expectation;self-fulfilment;rolling window;bootstrap;time-varying causality

KeyWords Plus:OPTIMAL MONETARY-POLICY;INFORMATION PHILLIPS-CURVE;COINTEGRATED VAR SYSTEMS;STICKY-INFORMATION;UNITED-STATES;TIME-SERIES;PARAMETER INSTABILITY;STRUCTURAL-CHANGE;MODELS;TESTS

通讯作者地址:Su, CW (通讯作者)

地址:

电子邮件地址:cwsu@ouc.edu.cn