Arbeitspapier

Are US inflation expectations re-anchored?

Anchored inflation expectations are of key importance for monetary policy. If long-terminflation expectations arewell-anchored, they should be unaffected by short-term economic news. This letter introduces newsregressions with multiple endogenous breaks to investigate the de- and re-anchoring of US inflation expectations. We confirm earlier evidence on the de-anchoring of expectations driven by the outbreak of the crisis. Our results indicate that expectations have not been re-anchored ever since.

Language: Englisch

Bibliographic citation: Series: SFB 649 Discussion Paper ; No. 2014-060

Classification: Wirtschaft
Price Level; Inflation; Deflation
Monetary Policy
Central Banks and Their Policies
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

Subject: Anchoring of Inflation Expectations
Break-Even Inflation Rates
News-Regressions
Multiple Structural Break Tests

Event: Geistige Schöpfung

(who): Nautz, Dieter
Strohsal, Till

Event: Veröffentlichung

(who): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk

(where): Berlin

(when): 2014

Handle: http://hdl.handle.net/10419/107927

Last update: 10.03.2025, 11:44 AM CET

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Arbeitspapier

Associated

Nautz, Dieter
Strohsal, Till
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk

Time of origin

2014

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Are US inflation expectations re-anchored?

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