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NBP Working Paper No. 313 Assessing reliability of aggregated inflation views in the European Commission Consumer Survey Ewa Stanisławska, Maritta Paloviita, Tomasz Łyziak
NBP Working Paper No. 313
Assessing reliability of aggregated infl ation views in the European Commission Consumer SurveyEwa Stanisławska, Maritta Paloviita, Tomasz Łyziak
Narodowy Bank PolskiWarsaw 2019
NBP Working Paper No. 313
Assessing reliability of aggregated infl ation views in the European Commission Consumer SurveyEwa Stanisławska, Maritta Paloviita, Tomasz Łyziak
Published by:Narodowy Bank PolskiEducation & Publishing Departmentul. Świętokrzyska 11/2100-919 Warszawa, Poland www.nbp.pl
ISSN 2084-624X
© Copyright Narodowy Bank Polski 2019
Ewa Stanisławska – Narodowy Bank Polski; [email protected] Paloviita – Bank of Finland; [email protected] Tomasz Łyziak – Narodowy Bank Polski; [email protected]
The views expressed in this paper are those of the authors and do not necessarily refl ect the views of the Bank of Finland, Narodowy Bank Polski or the Eurosystem. The authors are grateful to the anonymous Referee for helpful comments.
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ContentsAbstract 4
1 Introduction 5
2 Qualitative and quantitative survey questions on infl ation 9
2.1 Qualitative survey questions on infl ation 9
2.2 Quantitative survey questions on infl ation 10
2.3 Overview of aggregated infl ation expectations estimates 11
3 Inconsistency analysis on a micro level 13
3.1 Defi nition of inconsistent responses 13
3.2 Interpretation of inconsistent responses 14
3.3 Scale of inconsistency problem 15
3.4 Demography of inconsistent responses 16
3.5 Model of expectations formation 17
4 Robustness of aggregated infl ation views to individual inconsistency problem 20
4.1 Methods 20
4.2 Aggregated infl ation views 22
4.3 Epidemiological models of expectations formation 23
5 Conclusions 24
References 26
Tables and fi gures 30
Appendix 40
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Abstract
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Chapter 1
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Introduction
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Chapter 2
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Qualitative and quantitative survey questions on infl ation
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Chapter 3
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±απpi πpiα
α = 0
α = 0.5
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Inconsistency analysis on a micro level
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Inconsistency analysis on a micro level
πei πpiπexp
Pi
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πei = c+ απpi + βπexp +∑
k
γkPki + εi
πei = c+ απpi +∑
k
αkPki π
pi + βπexp +
∑
k
βkPki π
exp +∑
k
γkPki + εi
Ii = 1
Ii = 0
πei = c+ c∗Ii + απpi + α∗Iiπpi + βπexp + β∗Iiπexp +
∑
k
γkPki +
∑
k
γ∗kIiPki + εi
πei = c+ c∗Ii + απpi + α∗Iiπpi +
∑k
αkPki π
pi + βπexp + β∗Iiπexp+
+∑k
βkPki π
exp +∑k
γkPki +
∑k
γ∗kIiPki + εi
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Inconsistency analysis on a micro level
Ii
Ii
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Chapter 4
πe
πexp
πet = λπexpt + (1− λ)πet−1 + εt
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Robustness of aggregated infl ation views to individual inconsistency problem
λ
(1− λ)
πet = γ + λπexpt + (1− λ)πet−1 + εt
πe = πexp + γλ
πp
π
πet − (πpt − πt−1) = γ + λπexpt + (1− λ)[πet−1 −
(πpt−1 − πt−2
)]+ εt
πe = πexp + (πp − π) + γλ
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πet − πpt = γ + λ (πexpt − πt−1) + (1− λ)(πet−1 − πpt−1
)+ εt
πe = πexp + (πp − π) + γλ
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Robustness of aggregated infl ation views to individual inconsistency problem
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Chapter 5
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Conclusions
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References
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References
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References
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Tables and fi gures
[1]
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[2]
[2]
[2]
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[2]
[1]
[2]
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Tables and fi gures
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[2]
[2]
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[1]
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Tables and fi gures
× × × ×
×
×
× ×
×
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[1] [1]
MD=∑T
t= (Xt−X∗t )/T Xt
X∗t
[1]
γ λ R2 λ γ λ R2
λ
λ
γ λ R2 λ γ λ R2
λ
λ
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Tables and fi gures
γ λ R2 λ γ λ R2
λ
λ
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Tables and fi gures
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Δπe = πe − πp
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Tables and fi gures
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Appendix
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Appendix
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Appendix
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