Expectation formation in a new environment: Evidence from the German reunification

• 成果类型: Article
• 署名作者: Goldfayn-Frank, Olga; Wohlfart, Johannes
• 署名单位: Goethe University Frankfurt; Deutsche Bundesbank; University of Copenhagen
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.08.001
• 发表日期: 2020
• 页码: 301-320
• 关键词: Expectation formation; inflation; natural experiment; German reunification; macroeconomic experiences

摘要

Exploiting the German reunification, we study how households adapt to a new environment in their macroeconomic forecasting. East Germans expect higher inflation than West Germans decades after reunification. These differences are likely driven by the persistent effect of the inflation shock after reunification, which contrasted strongly with experiences of zero inflation in the GDR. East Germans' higher inflation expectations are reflected in higher consumer debt and lower bond holdings. Our findings suggest that large changes in the environment can permanently impede people's ability to form expectations, with an important role for the interaction of experiences before and after the event. (c) 2019 Elsevier B.V. All rights reserved.