Measuring Inflation Expectations Uncertainty Using High-Frequency Data

Joshua Chan and Yong Song (2017)
Journal of Money, Credit and Banking, forthcoming
[ Journal Version | Working Paper | Code ]

This code estimates a new bivariate unobserved components model to measure long-run inflation expectations uncertainty using both monthly inflation and daily break-even inflation data.

We also include seven variants of the baseline model that have different specifications or use different sources of data.