Le prochain séminaire de Finance aura lieu le Vendredi 7 avril 2017 à 12h30 en salle 305 (IGR-IAE).
Nous aurons le plaisir d'accueillir Olesya Grishchenko (Federal Reserve Board).
Olesya viendra nous présenter son papier "The joint dynamics of the US and euro area inflation rates: expectations and time-varying uncertainty" co-écrit avec Sarah Mouabbi et Jean-Paul Renne.
We propose a dynamic factor model with time-varying uncertainty for the joint estimation of inflation expectations in the United States and the euro area. We exploit information in several U.S. and euro area surveys of professional forecasters to fit the first two moments of future inflation rates. Our model provides closed-form solutions for conditional expectations and variances of inflation at different horizons and is able to closely match their survey-based counterparts. Survey-consistent probabilities of future inflation falling within a given range of inflation outcomes are used to evaluate whether inflation expectations are anchored. We find that since 2010 inflation expectations decreased noticeably in both economies, and that over our sample period the U.S. displayed larger inflation uncertainty relative to the euro area. The correlation between future inflation rates in the two economies increased. This correlation and probability of deflation occurring jointly in both economies are related to economic policy uncertainty indices.
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