Is time-variant information stickiness state-dependent?
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/15776 |
Resumo: | 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. |
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Is time-variant information stickiness state-dependent?Information stickinessInflation expectationsState dependenceThis 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.Springer VerlagRepositório da Universidade de LisboaYingying, XuZhixin, LiuZichao, JiaChi-Wei, Su2018-07-03T09:00:03Z2017-122017-12-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/15776engYingying, Xu ... [et al.] (2017). "Is time-variant information stickiness state-dependent?". Portuguese Economic Journal, 16(3):169-1871617-982X (print)10.1007/s10258-017-0129-xmetadata only accessinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-05-28T01:31:02Zoai:www.repository.utl.pt:10400.5/15776Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:01:21.464640Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Is time-variant information stickiness state-dependent? |
title |
Is time-variant information stickiness state-dependent? |
spellingShingle |
Is time-variant information stickiness state-dependent? Yingying, Xu Information stickiness Inflation expectations State dependence |
title_short |
Is time-variant information stickiness state-dependent? |
title_full |
Is time-variant information stickiness state-dependent? |
title_fullStr |
Is time-variant information stickiness state-dependent? |
title_full_unstemmed |
Is time-variant information stickiness state-dependent? |
title_sort |
Is time-variant information stickiness state-dependent? |
author |
Yingying, Xu |
author_facet |
Yingying, Xu Zhixin, Liu Zichao, Jia Chi-Wei, Su |
author_role |
author |
author2 |
Zhixin, Liu Zichao, Jia Chi-Wei, Su |
author2_role |
author author author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Yingying, Xu Zhixin, Liu Zichao, Jia Chi-Wei, Su |
dc.subject.por.fl_str_mv |
Information stickiness Inflation expectations State dependence |
topic |
Information stickiness Inflation expectations State dependence |
description |
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. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017-12 2017-12-01T00:00:00Z 2018-07-03T09:00:03Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/15776 |
url |
http://hdl.handle.net/10400.5/15776 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Yingying, Xu ... [et al.] (2017). "Is time-variant information stickiness state-dependent?". Portuguese Economic Journal, 16(3):169-187 1617-982X (print) 10.1007/s10258-017-0129-x |
dc.rights.driver.fl_str_mv |
metadata only access info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
metadata only access |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Springer Verlag |
publisher.none.fl_str_mv |
Springer Verlag |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799131102190764032 |