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The common and specific components of inflation expectation across European countries

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The common and specific components of inflation expectation across European countries. / Wang, Weining.

In: Empirical Economics, 04.03.2021.

Research output: Contribution to journalArticlepeer-review

Harvard

Wang, W 2021, 'The common and specific components of inflation expectation across European countries', Empirical Economics.

APA

Wang, W. (2021). The common and specific components of inflation expectation across European countries. Empirical Economics.

Vancouver

Wang W. The common and specific components of inflation expectation across European countries. Empirical Economics. 2021 Mar 4.

Author

Wang, Weining. / The common and specific components of inflation expectation across European countries. In: Empirical Economics. 2021.

Bibtex - Download

@article{7fbbe1fddd524c98afb98d8b61a59a2c,
title = "The common and specific components of inflation expectation across European countries",
abstract = "Inflation expectation (IE) is often considered to be an important determinant ofactual inflation in modern economic theory, we are interested in investigating themain risk factors that determine its dynamics. We first apply a joint arbitrage-freeterm structure model across different European countries to obtain estimate forcountry-specific IE. Then we use the two-component and three-component modelsto capture the main risk factors. We discover that the extracted common trendfor 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.",
author = "Weining Wang",
note = "This is an author-produced version of the published paper. Uploaded in accordance with the publisher{\textquoteright}s self-archiving policy. Further copying may not be permitted; contact the publisher for details ",
year = "2021",
month = mar,
day = "4",
language = "English",
journal = "Empirical Economics",
issn = "0377-7332",
publisher = "Physica-Verlag",

}

RIS (suitable for import to EndNote) - Download

TY - JOUR

T1 - The common and specific components of inflation expectation across European countries

AU - Wang, Weining

N1 - 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

PY - 2021/3/4

Y1 - 2021/3/4

N2 - Inflation expectation (IE) is often considered to be an important determinant ofactual inflation in modern economic theory, we are interested in investigating themain risk factors that determine its dynamics. We first apply a joint arbitrage-freeterm structure model across different European countries to obtain estimate forcountry-specific IE. Then we use the two-component and three-component modelsto capture the main risk factors. We discover that the extracted common trendfor 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.

AB - Inflation expectation (IE) is often considered to be an important determinant ofactual inflation in modern economic theory, we are interested in investigating themain risk factors that determine its dynamics. We first apply a joint arbitrage-freeterm structure model across different European countries to obtain estimate forcountry-specific IE. Then we use the two-component and three-component modelsto capture the main risk factors. We discover that the extracted common trendfor 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.

M3 - Article

JO - Empirical Economics

JF - Empirical Economics

SN - 0377-7332

ER -