Heterogeneous Expectations, Learning and European Inflation Dynamics
Heterogeneous Expectations, Learning and European Inflation Dynamics
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异质期望、学习和欧洲通胀动态
DOI：
10.1017/cbo9780511779770.012
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发表时间：
2007
期刊：
影响因子：
--
通讯作者：
A. Weber
中科院分区：
文献类型：
--
作者：
A. Weber
本文首次尝试研究不同学习规则在拟合欧洲五个核心经济体（法国、德国、意大利、荷兰和西班牙）的家庭和专家通胀预期调查数据时的表现。总的来说，它被发现，恒定增益学习表现良好的样本外预测。它还表明，在高通货膨胀国家的家庭使用更高的最佳拟合常数增益参数比低通货膨胀国家。因此，它们能够更快地适应结构性变化。专业预测者比家庭更频繁地更新信息集。此外，欧元区的家庭预期并未与欧洲央行的通胀目标一致，即在中期将通胀率保持在2%以下但接近2%。这与专业专家的调查结果形成对比，专业专家似乎更倾向于将货币联盟对通货膨胀率趋同的影响纳入他们的预期。
This paper is the first attempt to investigate the performance of different learning rules in fitting survey data of household and expert inflation expectations in five core European economies (France, Germany, Italy, Netherlands and Spain). Overall it is found that constant gain learning performs well in out-of-sample forecasting. It is also shown that households in high inflation countries are using higher best fitting constant gain parameters than those in low inflation countries. They are hence able to pick up structural changes faster. Professional forecasters update their information sets more frequently than households. Furthermore, household expectations in the Euro Area have not converged to the inflation goal of the ECB, which is to keep inflation below to but close to 2% in the medium run. This contrasts the findings for professional experts, which seem to be more inclined to incorporate the implications of monetary union for the convergence in inflation rates into their expectations.