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dc.contributor.authorJain, Monicaen
dc.date2012-12-21 15:39:23.616
dc.date.accessioned2013-01-04T16:51:43Z
dc.date.available2013-01-04T16:51:43Z
dc.date.issued2013-01-04
dc.identifier.urihttp://hdl.handle.net/1974/7713
dc.descriptionThesis (Ph.D, Economics) -- Queen's University, 2012-12-21 15:39:23.616en
dc.description.abstractThis dissertation presents a new measure of U.S. inflation persistence from the point of view of a professional forecaster. In chapter 2 I explore two different measures that give insight into the views of professional forecasters and link their views with U.S. inflation data. One of these measures, given by the persistence implied by forecast revisions, appears to have similarities with actual inflation persistence over the 1981–2008 sample period. Chapter 3 explores forecast revisions in a more general setting allowing forecasters to have their own views on inflation persistence as well as a unique information set. This chapter builds a measure of perceived inflation persistence via the implied autocorrelation function that follows from the estimates obtained using a forecaster-specific state-space model. When compared to the autocorrelation function for actual inflation, forecasters tend to react less to shocks that hit inflation than the actual inflation data would suggest. This could be due to increased credibility of the Federal Reserve, but it could also be a result of a bias in the underlying inflation forecasts. Chapter 4 focuses on this issue and finds that the reluctance of forecasters to make revisions to their previously announced forecasts causes their estimates of perceived inflation persistence to be understated as their announced inflation forecasts differ from their true inflation expectations. This chapter also presents a method to undo this bias by retrieving their true inflation expectations series.en
dc.language.isoengen
dc.relation.ispartofseriesCanadian thesesen
dc.rightsThis publication is made available by the authority of the copyright owner solely for the purpose of private study and research and may not be copied or reproduced except as permitted by the copyright laws without written authority from the copyright owner.en
dc.subjectforecast revisionsen
dc.subjectconservatismen
dc.subjectinflation expectationsen
dc.subjectrational biasen
dc.subjectSurvey of Professional Forecastersen
dc.subjectinflation persistenceen
dc.titleMeasuring Forecasters' Perceptions of Inflation Persistenceen
dc.typethesisen
dc.description.degreePhDen
dc.contributor.supervisorSmith, Gregoren
dc.contributor.supervisorGregory, Allan W.en
dc.contributor.departmentEconomicsen
dc.degree.grantorQueen's University at Kingstonen


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