Oxford Bulletin of Economics and Statistics (2022)
Matsuoka Hideaki
By Madeira Carlos and Zafar Basit
Journal of Money, Credit and Banking (2015)
Using the panel component of the Michigan Survey of Consumers, we estimate a learning model of inflation expectations, allowing for heterogeneous use of private information and lifetime inflation experience. Life experience inflation has a significant impact on individual expectations, but only for 1‐year‐ahead inflation. Public information is substantially more relevant for longer horizon expectations. Even controlling for life experience inflation and public information, idiosyncratic information explains a nontrivial proportion of the inflation forecasts of agents. Women, ethnic minorities, and less educated agents have a higher degree of heterogeneity in their idiosyncratic information, and give less importance to recent movements in inflation.
Madeira C. and Zafar B. (2015) Heterogeneous Inflation Expectations and Learning. Journal of Money, Credit and Banking, 47, 867-896.