Dynamic modelling of price expectations and judgments

Abstract Official data about consumers’ qualitative expectation and perception of inflation are derived from repeated surveys conducted by national statistical institutes. In EU, these published in aggregate form, cannot be described means classical methods based on cumulative models for ordinal data. This article illustrates an integrated approach that locates CUB mixture ratings a time series perspective order to investigate the joint evolution judgments expectations Italy. measure common sentiment interviewees through feeling component model, net possible uncertainty nuisance effects, its estimation is pursued profile likelihood given empirical frequency distributions opinions observed over time. Then, relationship between estimated parameters modelled using dynamic regression model results compared three periods marked different economic conditions. Results indicate each has substantial inertial component, thus it characterized slow variation time, both past price levels previous affect current future fairly ways periods.