Cardiff University | Prifysgol Caerdydd ORCA
Online Research @ Cardiff 
WelshClear Cookie - decide language by browser settings

Forecasting inflation gap persistence: do financial sector professionals differ from non-financial sector ones?

Dixon, Huw ORCID: https://orcid.org/0000-0002-9875-8965, Easaw, Joshy ORCID: https://orcid.org/0000-0003-3476-4300 and Heravi, Saeed ORCID: https://orcid.org/0000-0002-0198-764X 2020. Forecasting inflation gap persistence: do financial sector professionals differ from non-financial sector ones? International Journal of Finance and Economics 25 (3) , pp. 461-474. 10.1002/ijfe.1762

[thumbnail of IJFE-Sep 2019.pdf]
Preview
PDF - Accepted Post-Print Version
Download (495kB) | Preview

Abstract

The purpose of the present paper is to investigate forecasted inflation gap persistence using professionals’ survey-based data, differentiating between financial and non-financial sectors professionals. We derive the forecasted inflation gap persistence and using a state dependent model, we estimate the non-linear persistence coefficient of the inflation gap. We distinguish between the pre-Great Moderation, Great Moderation and Great Recession periods. Our main results indicate that whilst the estimates of persistence for GDP inflation largely confirm the results obtained using a linear model, for CPI inflation we find that there is strong evidence for state-dependence and time variation. By and large, the results are consistent with the price stability policy pursued in the Great Moderation period and perceived disinflationary pressures during the Great Recession period

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Publisher: Wiley
ISSN: 1076-9307
Date of First Compliant Deposit: 30 September 2019
Date of Acceptance: 13 September 2019
Last Modified: 09 Nov 2023 11:12
URI: https://orca.cardiff.ac.uk/id/eprint/125743

Citation Data

Cited 1 time in Scopus. View in Scopus. Powered By Scopus® Data

Actions (repository staff only)

Edit Item Edit Item

Downloads

Downloads per month over past year

View more statistics