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Portuguese Economic Journal

, Volume 16, Issue 3, pp 169–187 | Cite as

Is time-variant information stickiness state-dependent?

  • Yingying XuEmail author
  • Zhixin Liu
  • Zichao Jia
  • Chi-Wei Su
Original Article

Abstract

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.

Keywords

Information stickiness Inflation expectations State dependence 

JEL classification

E31 E52 E58 D84 

Notes

Acknowledgements

This research is supported by the National Social Science Foundation (Grant number: 15BJY155) and the Ministry of Education’s Humanities and Social Science Research Project (Grant number: 15YJC630042).

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Copyright information

© ISEG 2017

Authors and Affiliations

  • Yingying Xu
    • 1
    Email author
  • Zhixin Liu
    • 1
  • Zichao Jia
    • 1
  • Chi-Wei Su
    • 2
  1. 1.Beihang UniversityBeijingChina
  2. 2.Ocean University of ChinaQingdaoChina

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