expectation: Inflation Expectation Dataset

In ardl.nardl: Linear and Nonlinear Autoregressive Distributed Lag Models: General-to-Specific Approach

Inflation Expectation Dataset

Description

Dataset

Usage

data("expectation")

Format

A data frame with 47 observations on the following variables.

date

date from 2009Q1 to 2020Q4

nq_inf_exp

Natural log of Next quarter inflation expectation (index)

n12m_inf_exp

Natural log of Next 12-month inflation expectation (index)

hawkish

Hawkishness

dovish

Dovishness

nethawkish

nethawkishness

headline_inf

actual headline inflation (percent)

core_inf

actual core inflation (percent)

food_inf

actual food inflation (percent)

Details

The sentiment indices were extracted (text mined) from CBN monetary policy committee ommuniques with the aid of the monetary policy dictionary adopted in Mate et al. (2021).

Source

....

References

Mate A, Sebok M, Barczikay T (2021) The effect of central bank communication on sovereign bond yields: The case of Hungary. PLoS ONE 16(2): e0245515. https://doi.org/10.1371/journal.pone.0245515

Examples

data(expectation)

ardl.nardl documentation built on May 29, 2024, 11:28 a.m.