THE ANCHORING OF INFLATION EXPECTATIONS IN THE SHORT AND IN THE LONG RUN
| Autor: | Dieter Nautz, Aleksei Netšunajev, Till Strohsal |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Inflation
Economics and Econometrics media_common.quotation_subject Anchoring Monetary economics Astrophysics::Cosmology and Extragalactic Astrophysics 310 Statistik General Relativity and Quantum Cosmology Michigan Survey 0502 economics and business Economics Markov-Switching Heteroskedasticity ddc:330 ddc:310 050207 economics E58 E52 E31 media_common Inflation Expectations 050208 finance Inflation targeting 330 Wirtschaft 05 social sciences Central bank 8. Economic growth Structural VAR Markov Switching Heteroskedasticity |
| Zdroj: | Macroeconomic Dynamics |
| ISSN: | 1365-1005 |
| DOI: | 10.1017/s1365100517000517 |
| Popis: | This paper introduces structural VAR analysis as a tool for investigating the anchoring of inflation expectations. We show that U.S. consumers’ inflation expectations are anchored in the long run because macro-news shocks are long-run neutral for long-term inflation expectations. The identification of structural shocks helps to explain why inflation expectations deviate from the central bank’s target in the short run. Our results indicate that the recent decline of long-term inflation expectations does not result from deanchoring macro-news but can be attributed to downward adjustments of consumers’ expectations about the central bank’s inflation target. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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