The efficiency of monetary policy when guiding inflation expectations

Arbeitspapier

We assess the efficiency of monetary policy to guide inflation expectations in high and low regimes. Using quantile regression we analyze the persistence of inflation expectations from the Consensus Economics Survey at different quantiles. We find a) empirical evidence that expectations are not anchored in the tails of their distribution and b) robust evidence for structural breaks for the USA and Italy. After the outbreak of the Global Financial crisis expectations become unanchored. The Fed's unconventional monetary policy at the ZLB in thus ineffective in guiding inflation expectations.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Research Papers in Economics ; No. 14/16

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Expectations; Speculations ; Price Level; Inflation; Deflation ; Monetary Policy
• Subject: inflation expectations ; persistence ; monetary policy ; quantile regressions ; structural breaks ; quantile unit root test ; zero lower bound

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bauer, Christian ; Weber, Sebastian
• Event: Veröffentlichung
• (who): Universität Trier, Fachbereich IV – Volkswirtschaftslehre
• (where): Trier
• (when): 2016

Further information

• Handle: http://hdl.handle.net/10419/156259
• Last update: 10.03.2025, 11:44 AM CET