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On the Sources of Movements in Inflation Expectations: A Few Insights from a VAR Model: A Reprint from the “Economic Quarterly”
Yash P. Mehra (au); Christopher Herrington (au)
Investigates the responses of expected inflation (EI) to temporary shocks to macroecon. variables during 3 periods, 1953:1-1979:1, 1979:2-2001:1, and 1985:1-2007:1. Shocks to actual inflation (AI), commodity prices, and EI itself have been 3 major sources of movement in EI, together explaining over 80% of the variability in EI. Positive shocks to AI, commodity prices, and EI itself lead to increases in EI that are large and long-lasting in the pre-1979 sample period, but muted and short-lived in post-1979 sample periods. Oil price shocks have only transitory effects on EI. The positive response of EI to higher oil prices found in the pre-1979 sample period is absent in post-1979 sample periods, suggesting that the Fed. Reserve may have earned credibility. Illustrations.
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