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Is time-variant information stickiness state-dependent?
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Orientador(es)
Resumo(s)
This paper estimates information stickiness with regard to inflation expectations in the United States and the Eurozone for the 1981/06–2015/12 and 1998/Q4–2015/Q2 periods, respectively, and further investigates whether such information stickiness is state- dependent. Based on a bootstrap sub-sample rolling-window estimation, we find that information stickiness varies over time, which contradicts the strict time dependency implied under sticky-information theory. We provide evidence that information stickiness depends on inflation volatility, which indicates that information stickiness is state-dependent and that it has a time trend. Using a threshold model, we estimate structural changes in the state- dependence and time-trend of information stickiness. The results show that information stickiness has been more dependent on inflation volatility and has had a higher time-trend in both regions following the 2008 financial crisis.
Descrição
Palavras-chave
Information stickiness Inflation expectations State dependence
Contexto Educativo
Citação
Yingying, Xu ... [et al.] (2017). "Is time-variant information stickiness state-dependent?". Portuguese Economic Journal, 16(3):169-187
Editora
Springer Verlag