Decomposing the declining volatility of long-term inflation expectations

@inproceedings{Clark2009DecomposingTD,
  title={Decomposing the declining volatility of long-term inflation expectations},
  author={Todd E. Clark and Troy Davig},
  year={2009}
}
The level and volatility of survey-based measures of long-term inflation expectations have come down dramatically over the past several decades. To capture these changes in inflation dynamics, we embed both shortand long-term expectations into a mediumscale VAR model with stochastic volatility. The model estimates attribute most of the marked decline in the volatility of expectations to smaller shocks to long-run inflation expectations. According to our estimates, the volatility of shocks… CONTINUE READING

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