The common and specific components of inflation expectation across European countries

Weining Wang

doi:10.1007/s00181-021-02027-1

The common and specific components of inflation expectation across European countries

Weining Wang

Economics

Research output: Contribution to journal › Article › peer-review

Abstract

Inflation expectation (IE) is often considered to be an important determinant of
actual inflation in modern economic theory, we are interested in investigating the
main risk factors that determine its dynamics. We first apply a joint arbitrage-free
term structure model across different European countries to obtain estimate for
country-specific IE. Then we use the two-component and three-component models
to capture the main risk factors. We discover that the extracted common trend
for IE is an important driver for each country of interest. Moreover a spatialtemporal copula model is fitted to account for the non-Gaussian dependency across countries. This paper aims to extract informative estimates for IE and provide good implications for monetary policies.

Original language	English
Journal	Empirical Economics
Early online date	4 Mar 2021
DOIs	https://doi.org/10.1007/s00181-021-02027-1
Publication status	E-pub ahead of print - 4 Mar 2021

Bibliographical note

This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details

Access to Document

10.1007/s00181-021-02027-1

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This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details
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Cite this

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