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Dispersion Of Inflation Expectations In The European Union During The Global Financial Crisis

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  • Jan Acedanski

    (University of Economics in Katowice, Poland)

  • Julia Wlodarczyk

    (University of Economics in Katowice, Poland)

Abstract

Inflation expectations, both their median and dispersion, are of great importance to the effectiveness of monetary policy. The goal of this paper is to examine the impact of the global financial crisis on dispersion of inflation expectations in the European Union. Using European Commission’s survey data, we find that in the early phase of the crisis the dispersion dropped rapidly but then, after Lehman Brothers’ collapse, the trend reversed and these fluctuations cannot be explained by movements of inflation rates and other commonly used factors. We also observe that, in the new European Union member states, the initial drop of the dispersion was weaker whereas the subsequent rise was stronger as compared to the old member states.

Suggested Citation

  • Jan Acedanski & Julia Wlodarczyk, 2016. "Dispersion Of Inflation Expectations In The European Union During The Global Financial Crisis," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(4), pages 737-749, December.
    • Handle: RePEc:pes:ierequ:v:11:y:2016:i:4:p:737-749
    DOI: 10.12775/EQUIL.2016.033
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    References listed on IDEAS

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    1. Jan Marc Berk, 1999. "Measuring inflation expectations: a survey data approach," Applied Economics, Taylor & Francis Journals, vol. 31(11), pages 1467-1480.
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    3. Gabriela Galati & Steven Poelhekke & Chen Zhou, 2011. "Did the Crisis Affect Inflation Expectations?," International Journal of Central Banking, International Journal of Central Banking, vol. 7(1), pages 167-207, March.
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    6. Bharat Trehan & Oskar Zorrilla, 2012. "The financial crisis and inflation expectations," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue sep24.
    7. Petra Gerlach & Peter Hördahl & Richhild Moessner, 2011. "Inflation expectations and the great recession," BIS Quarterly Review, Bank for International Settlements, March.
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    Cited by:

    1. Aleksandra Rutkowska & Magdalena Szyszko, 2022. "New DTW Windows Type for Forward- and Backward-Lookingness Examination. Application for Inflation Expectation," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 701-718, February.

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    More about this item

    Keywords

    inflation expectations; survey data; global financial crisis; European Union;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • C42 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Survey Methods
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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