Long-term inflation expectations and the transmission of monetary policy shocks: Evidence from a SVAR analysis

Autor:	Max Diegel, Dieter Nautz
Rok vydání:	2021
Předmět:	Inflation Economics and Econometrics Control and Optimization Applied Mathematics media_common.quotation_subject Monetary policy Monetary economics Term (time) Shock (economics) Monetary transmission mechanism Unemployment Economics Scenario analysis media_common
Zdroj:	Journal of Economic Dynamics and Control. 130:104192
ISSN:	0165-1889
DOI:	10.1016/j.jedc.2021.104192
Popis:	This paper investigates the role of long-term inflation expectations for the monetary transmission mechanism and the conduct of monetary policy in a structural VAR framework. In contrast to earlier studies, we find that U.S. long-term inflation expectations respond significantly to a monetary policy shock. In line with a re-anchoring channel of monetary policy, long-term inflation expectations play an important role for the transmission of monetary policy shocks to the rate of inflation. Structural scenario analysis suggests that the response of monetary policy to expectations shocks contributes to the stabilization of inflation and unemployment.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::6641b18dc6e5683034c5cbe08d2e1fb8 https://doi.org/10.1016/j.jedc.2021.104192 Zobrazit plný text záznamu Full Text from ScienceDirect