The purpose of the present paper is to investigate perceived inflation gap persistence using actual data of professional forecasts. We derive the unobserved perceived inflation gap persistence and using a state dependent model we estimate the non-linear persistence coefficient of inflation gap....

The main purpose of this paper is to develop generalized 'State Dependent Models' (SDM) in a multivariate framework for empirical analysis. This significantly extends the existing SDM which only allow univariate analysis following a simple AR process. The extended model enables greater...

The purpose of the present paper is to investigate the structure and dynamics of professionals' forecast of inflation. Recent papers have focused on their forecast errors and how they may be affected by informational rigidities, or inattentiveness. In this paper we extend the existing literature...

The purpose of the present paper is to provide a simple model which explains how households (or non-experts) form their inflation forecasts. The paper contributes to the existing literature and the understanding of how inflation expectations are formed in two ways. Firstly, we present an...

We analyse the extent to which firm-level uncertainty is affected by aggregate uncertainty. Firm-level uncertainty is constructed from a large and monthly panel dataset of manufacturing firms. We find that aggregate uncertainty has a positive and robust impact on firm-level uncertainty. This...

Recent research has established that households learn from professional forecasters as they form their inflation expectations. Professionals forecasts are transmitted, or 'absorbed', throughout the population slowly but eventually. This provides the microfoundations for 'sticky information...

The purpose of the present paper is to study how households form inflation expectations. Using a novel survey-base dataset of Italian households' opinions of inflation we investigate two separate, but related, types of behavior: 'inattentiveness' and 'anchoring'. The present analysis extends the...

The purpose of this paper is to investigate the microfoundations of how non-experts' (or general public) form inflation expectations. Using a unique dataset we investigate the range of near rational inflation expectations. An important contribution to understanding how non-experts form their...

We examine the relationship between the prices paid by households and their shopping patterns measured in terms of shopping frequency and the range of stores visited. We use the TNS data which allows us to control for household heterogeneity. The main contribution of the paper is that we find...

Statistical offices use the matched models method to compile consumer price indices (CPIs) to measure inflation. The prices of a sample of models are recorded, and then price collectors visit the same stores each subsequent month to record the prices of the same matched sample of models. The...