Inflation Expectations Anchoring Across Different Types of Agents

Abstract

Cover -- Contents -- I. INTRODUCTION -- II. INFLATION AND INFLATION EXPECTATIONS -- Inflation Performance -- Inflation Expectations -- III. RELATED LITERATURE -- IV. METHODOLOGY -- V. THE DATA -- VI. RESULTS -- The Weight on the Implicit Anchor in Explaining Inflation Expectations -- Different Forecast Horizons -- Focusing on one- and two-year horizon forecasts -- The Implicit Inflation Anchor -- VII. CONCLUDING DISCUSSION -- Figures -- 1. Headline Inflation and Official Inflation Target Range -- 2. Indicators of South Africa's Inflation Performance -- 3. Inflation Expectations and Inflation Target Range -- 4. Weibull Decay Functions -- 5. Weight on Anchor Over Different Forecast Horizons, Consensus Forecasts -- 6. Weight on Anchor Over Different Forecast Horizons, BER Expectations -- 7. Weight on Anchor 12 And 24 Months Ahead, Consensus Forecasts -- 8. Weight on Anchor Four and Eight Quarters Ahead, BER Expectations -- 9. Estimated Inflation Anchor Using Consensus Economics Forecasts -- 10. Estimated Inflation Anchor Using BER Expectations -- 11. Inflation Forecast Mean Squared Error -- Tables -- 1. Inflation Facing Different Expenditure Quintiles in South Africa, 2009M01-2017M12 -- 2. Estimation Results -- References