Inflation Expectations, Central Bank Credibility and the Global Financial Crisis

Artikel

Long-run inflation expectations should not respond to economic news if the central bank is seen as credibly committed to stabilising inflation. In this paper we find that since the onset of the global financial crisis, medium and long-term inflation expectations implied by inflation swaps in the euro area, United Kingdom and United States have become less responsive to actual inflation and changes in oil and food prices. This suggests that the credibility of the central banks in these economies remains intact, despite large increases in their balance sheets due to unconventional monetary policy measures and the introduction of explicit forward guidance at the zero lower bound. We also find an increase in autocorrelation of inflation expectations, which suggests that shocks have a longer-lasting impact than before the financial crisis.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Swiss Journal of Economics and Statistics ; ISSN: 2235-6282 ; Volume: 150 ; Year: 2014 ; Issue: 2 ; Pages: 55-87 ; Heidelberg: Springer

Classification and Topics

• Classification: Wirtschaft ; Central Banks and Their Policies ; Price Level; Inflation; Deflation ; Financial Crises
• Subject: Inflation expectations ; central bank credibility ; financial crisis

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Gerlach-Kristen, Petra ; Mössner, Richhild
• Event: Veröffentlichung
• (who): Springer
• (where): Heidelberg
• (when): 2014

Further information

• DOI: doi:10.1007/BF03399402
• Handle: http://hdl.handle.net/10419/186036
• Last update: 10.03.2025, 11:45 AM CET