August 11, 2025Danube1 citationsOpen Access

How Heterogeneous Are the Inflation Expectations?

JMJakub MoučkaMasaryk University DNDaniel NěmecMasaryk University

Puntos clave

Inflation expectations are notably influenced by past trends among households and firms, showing backward-looking behavior during inflationary periods.
Key determinants include the CPI inflation and economic variables, with significant reliance by households and firms but less responsiveness from professionals.
Bayesian model averaging was used alongside panel data regressions to evaluate the stability and persistence of inflation expectations across various economies.
Implications highlight the role of the inflation news index during high-inflation periods, emphasizing how media affects expectation formation.

Resumen

Abstract This paper investigates the heterogeneity of inflation expectations among households, firms, and professionals across 14 economies. Using Bayesian model averaging and panel data regressions, we identify key determinants of inflation expectations, assess their stability over time, and evaluate their persistence. Our findings reveal that households and firms rely heavily on past expectations and year-on-year changes in economic variables, whereas professionals are more responsive to monetary policy indicators. The inflation news index emerges as a crucial determinant, especially during high-inflation periods, highlighting the role of media in expectation formation. We find that inflation expectations became more backward-looking during the inflationary period 2022. Additionally, while CPI inflation significantly influences firms and professionals, exchange rates and oil prices appear insignificant.

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