Factors Affecting Consumers’ Inflation Expectations in EU Members States with Independent Monetary Policy

Magdalena Szyszko , Aleksandra Rutkowska

Abstract

In the light of the research which proves that inflation expectations cannot be fully explained by inflation itself, a question about the possible drivers of expectations arises. In this paper, we look for such drivers with the use of the cointegration analysis. We assume that some economic information is incorporated into a mechanism that explains their changes and long-run development (1) and that the drivers of expectations vary across countries (2). The research covers eight non-euro area EU Member States and the time span of years 2001–2016. We distinguish six monetary, financial, and real sphere factors that could affect expectations, and we elaborate on VECMs for each country, respectively, to analyse short- and long-run dependence of variables. We find that long-run relations do exist between variables as well as—in certain cases—short-run relations. The number of variables and the lags suggested by the information criteria lead to relatively complex models, which means that they are difficult to interpret directly. As a result, we propose further research with respect to the same dataset.
Author Magdalena Szyszko - Wyższa Szkoła Bankowa w Poznaniu
Magdalena Szyszko,,
-
, Aleksandra Rutkowska (WIiGE / KMS)
Aleksandra Rutkowska,,
- Department of Applied Mathematics
Pages81-100
Publication size in sheets0.95
Book Śliwiński Adam, Polychronidou Persefoni, Karasavvoglou Anastasios (eds.): Economic Development and Financial Markets: Latest Research and Policy Insights from Central and Southeastern Europe, Contributions to Economics, 2020, Springer, ISBN 978-3-030-32425-4, [978-3-030-32426-1], 179 p., DOI:10.1007/978-3-030-32426-1
Keywords in Polishoczekiwania inflacyjne, konsumenci, modele VECM
Keywords in EnglishInflation expectations, Consumers, VECM
ASJC Classification2002 Economics and Econometrics
DOIDOI:10.1007/978-3-030-32426-1_5
Languageen angielski
Score (nominal)20
Score sourcepublisherList
ScoreMinisterial score = 20.0, 23-04-2020, MonographChapterAuthor
Publication indicators Scopus SNIP (Source Normalised Impact per Paper): 2018 = 0.383
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