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dc.contributor.authorJain, Monica
dc.contributor.otherQueen's University (Kingston, Ont.). Theses (Queen's University (Kingston, Ont.))en
dc.date2012-12-21 15:39:23.616en
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_US
dc.languageenen
dc.language.isoenen_US
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_US
dc.subjectconservatismen_US
dc.subjectinflation expectationsen_US
dc.subjectrational biasen_US
dc.subjectSurvey of Professional Forecastersen_US
dc.subjectinflation persistenceen_US
dc.titleMeasuring Forecasters' Perceptions of Inflation Persistenceen_US
dc.typethesisen_US
dc.description.degreePh.Den
dc.contributor.supervisorSmith, Gregoren
dc.contributor.supervisorGregory, Allan W.en
dc.contributor.departmentEconomicsen


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