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NOTE: International Finance Discussion Papers are preliminary materials circulated to stimulate (1996)
BibTeX
@MISC{Gagnon96note:international,
author = {Joseph E. Gagnon},
title = {NOTE: International Finance Discussion Papers are preliminary materials circulated to stimulate},
year = {1996}
}
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Abstract
discussionand critical comment. Referencesin publicationsto InternationalFinanceDiscussionPapers (otherthan an acknowledgmentthat the writer has had accessto unpublishedmaterial)shouldbe cleared This study provides evidence that 10-year-aheadinflation expectations adapt very slowly to changesin realizedinflation. This evidencederivesprimarilyfrom yieldson 10-yeargovernmentbonds in a sampleof OECD countries,includinginflation-indexedbondswhere they are available. The study examinesboth the cross-countryand time-seriesbehaviorof interest rates and inflation rates. For the United States, additionalevidence is provided from a survey of 10-yearinflation expectationsheld by marketparticipants.This studydoes not presenta theoreticalmodelof expectationsformation. However, long memoryof the type documentedin this studywouldbe impliedby a modelof multipleinflationary regimes in which agents base their probability distributions of future regimes on past inflationary experience. i Joseph E. Gagnon] L Inproductionand Motivation This study provides evidence that 10-year-aheadinflation expectationsadapt very slowly to
Keyphrases
international finance discussion paper preliminary material presenta theoreticalmodelof expectationsformation inflation rate gagnon inproductionand motivation type documentedin referencesin publicationsto internationalfinancediscussionpapers past inflationary experience 10-yearinflation expectationsheld cross-countryand time-seriesbehaviorof interest rate probability distribution evidencederivesprimarilyfrom yieldson 10-yeargovernmentbonds united state 10-year-aheadinflation expectation sampleof oecd country future regime modelof multipleinflationary regime critical comment
