Artikel
Monetary Policy Uncertainty and Inflation Expectations
Do inflation expectations react to changes in the volatility of monetary policy? They have, but only until the global financial crisis. This paper investigates whether increasing the dispersion of monetary policy shocks, which is interpreted as elevated uncertainty surrounding monetary policy, affects the inflation expectation formation process. Based on US data since the 1980s and a stochastic volatility‐in‐mean structural VAR model, we find that monetary policy uncertainty reduces both inflation expectations and inflation. However, after the Great Recession this link has disappeared, even when controlling for the Zero Lower Bound.
- Language
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Englisch
- Bibliographic citation
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Journal: Oxford Bulletin of Economics and Statistics ; ISSN: 1468-0084 ; Volume: 85 ; Year: 2022 ; Issue: 1 ; Pages: 70-94 ; Hoboken, NJ: Wiley
- Classification
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Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Arce‐Alfaro, Gabriel
Blagov, Boris
- Event
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Veröffentlichung
- (who)
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Wiley
- (where)
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Hoboken, NJ
- (when)
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2022
- DOI
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doi:10.1111/obes.12516
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Arce‐Alfaro, Gabriel
- Blagov, Boris
- Wiley
Time of origin
- 2022
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