Assessing the anchoring of inflation expectations

Arbeitspapier

This paper proposes an ESTAR modeling framework to analyze the anchoring of inflation expectations. Anchoring criteria are empirical estimates of a market implied inflation target as well as the strength of the anchor that holds expectations at the target. Results from daily financial market expectations in the United States, European Monetary Union, United Kingdom and Sweden indicate: First, shorter-term expectations are better anchored than longer-term expectations. Second, expectations are best anchored in the EU, followed by US, Sweden and UK. Third, during the crisis market implied targets mostly decline while the strength of the anchor remains mostly unaffected.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SFB 649 Discussion Paper ; No. 2012-022

Classification and Topics

• Classification: Wirtschaft ; Monetary Policy ; Central Banks and Their Policies ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
• Subject: monetary policy ; anchoring ; inflation expectations ; break even inflation rates ; ESTAR model ; Inflationserwartung ; Prospect Theory ; Bias ; Schätzung ; USA ; Eurozone ; Großbritannien ; Schweden

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Strohsal, Till ; Winkelmann, Lars
• Event: Veröffentlichung
• (who): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (where): Berlin
• (when): 2012

Further information

• Handle: http://hdl.handle.net/10419/56667
• Last update: 10.03.2025, 11:42 AM CET