Expected inflation, unexpected inflation, and relative price dispersion. An empirical analysis

Shmuel Kandel; Aharon R. Ofer; Oded Sarig

doi:10.1016/0165-1765(91)90075-V

Expected inflation, unexpected inflation, and relative price dispersion. An empirical analysis

Shmuel Kandel^*, Aharon R. Ofer, Oded Sarig

^*Corresponding author for this work

Finance

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

Using inflation expectations extracted from index bond prices, we examine the relations between expected inflation, unexpected inflation and relative price dispersion in stable and volatile monetary regimes. We find that expected inflation is positively related to relative price dispersion in the high inflation period, and that inflation shocks are positively related to relative price dispersion in the low inflation period.

Original language	English (US)
Pages (from-to)	383-390
Number of pages	8
Journal	Economics Letters
Volume	37
Issue number	4
DOIs	https://doi.org/10.1016/0165-1765(91)90075-V
State	Published - Dec 1991

Funding

* Financial support for this study was provided by the Israel Institute of Business Research, the Pinhas Sapir Center for Development, and the Kasierer Institute, all at Tel-Aviv University. Correspondence should be addressed to Professor Shmuel Kandel, Recanaty School of Business Administration, Tel-Aviv University, Tel-Aviv 69978, Israel. ’ See, for example, Rotemberg (1982) and Sheshinski and Weiss (1977). 2 See, for example, Barro (19761, Hercowitz (1981, 1982), and Lucas (1973). ’ For reviews of these studies see Cukierman (1984) and Fischer (1981). ’ A recent example is Lath and Tsiddon (1990).

ASJC Scopus subject areas

Finance
Economics and Econometrics

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Cite this

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title = "Expected inflation, unexpected inflation, and relative price dispersion. An empirical analysis",

abstract = "Using inflation expectations extracted from index bond prices, we examine the relations between expected inflation, unexpected inflation and relative price dispersion in stable and volatile monetary regimes. We find that expected inflation is positively related to relative price dispersion in the high inflation period, and that inflation shocks are positively related to relative price dispersion in the low inflation period.",

author = "Shmuel Kandel and Ofer, {Aharon R.} and Oded Sarig",

note = "Funding Information: * Financial support for this study was provided by the Israel Institute of Business Research, the Pinhas Sapir Center for Development, and the Kasierer Institute, all at Tel-Aviv University. Correspondence should be addressed to Professor Shmuel Kandel, Recanaty School of Business Administration, Tel-Aviv University, Tel-Aviv 69978, Israel. {\textquoteright} See, for example, Rotemberg (1982) and Sheshinski and Weiss (1977). 2 See, for example, Barro (19761, Hercowitz (1981, 1982), and Lucas (1973). {\textquoteright} For reviews of these studies see Cukierman (1984) and Fischer (1981). {\textquoteright} A recent example is Lath and Tsiddon (1990).",

year = "1991",

month = dec,

doi = "10.1016/0165-1765(91)90075-V",

language = "English (US)",

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N2 - Using inflation expectations extracted from index bond prices, we examine the relations between expected inflation, unexpected inflation and relative price dispersion in stable and volatile monetary regimes. We find that expected inflation is positively related to relative price dispersion in the high inflation period, and that inflation shocks are positively related to relative price dispersion in the low inflation period.

AB - Using inflation expectations extracted from index bond prices, we examine the relations between expected inflation, unexpected inflation and relative price dispersion in stable and volatile monetary regimes. We find that expected inflation is positively related to relative price dispersion in the high inflation period, and that inflation shocks are positively related to relative price dispersion in the low inflation period.

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Expected inflation, unexpected inflation, and relative price dispersion. An empirical analysis

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