HETEROGENEOUS OR HOMOGENEOUS INFLATION EXPECTATION FORMATION MODELS: A CASE STUDY OF CHINESE HOUSEHOLDS AND FINANCIAL PARTICIPANTS

HETEROGENEOUS OR HOMOGENEOUS INFLATION EXPECTATION FORMATION MODELS: A CASE STUDY OF CHINESE HOUSEHOLDS AND FINANCIAL PARTICIPANTS

作者:Xu, YY(Xu, Yingying);Liu, ZX(Liu, Zhixin);Zhang, X(Zhang, Xing)

SINGAPORE ECONOMIC REVIEW

DOI:10.1142/S0217590817400306

出版年:SEP 2017

This paper attempts to identify whether the inflation expectation formation models adopted by Chinese agents are heterogeneous or homogeneous. A Gaussian mixture model is developed assuming that agents form inflation expectations by selecting a model from alternatives. Analysis results reveal that only adaptive expectation (AE) model is significant, indicating that both households and financial participants are fairly homogeneous in selecting inflation expectation formation models. Therefore, the mechanism of heterogeneous models is inoperative in explaining the heterogeneous inflation expectations in China, and the AE is the main driver of Chinese agents' perceptions about cost.

作者关键词:Inflation expectation;model uncertainty;heterogeneous expectations;adaptive expectation

KeyWords Plus:STICKY INFORMATION;RATIONAL ROUTE;DYNAMICS;RANDOMNESS

通讯作者地址:Xu, YY (通讯作者)

地址:

电子邮件地址:xuying1221@126.com;liuzhixin@buaa.edu.cn;zhangxing0326@163.com

WORLD SCIENTIFIC PUBL CO PTE LTD, 5 TOH TUCK LINK, SINGAPORE 596224, SINGAPORE

研究方向:Business & Economics

Web of Science 类别:Economics

语种:English

入藏号:WOS:000411464700007

ISSN:0217-5908

eISSN:1793-6837