Journal article

Time-Varying Consumer Disagreement and Future Inflation

S Tsiaplias

Journal of Economic Dynamics and Control | Elsevier | Published : 2020

Abstract

The inflation expectations of over 285 thousand consumers are used to develop ‘model-free’ estimates of the monthly cross-sectional mean, dispersion, asymmetry and extremeness of inflation expectations from 1995 to 2016. The moments provide a novel and direct measure of time-varying consumer disagreement about prices. I find that the higher-order cross-sectional moments of inflation expectations are highly informative about future inflation. In contrast to popular assumptions, these moments do not appear to be noise. Even after accounting for historical economic data, the ‘unanticipated’ components of the higher-order moments are significantly associated with future inflation. In effect, the..

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