2015-05-27Buch DOI: 10.18452/4586
The Time-Varying Degree of Inflation Expectations Anchoring
Abstract: Well-anchored inflation expectations have become a key indicator for the credibility of a central bank’s inflation target. Since the outbreak of the recent financial crisis, the existence and the degree of de-anchoring of U.S. inflation expectations have been under debate. This paper introduces an encompassing time-varying parameter model to analyze the changing degree of U.S. inflation expectations anchoring. We confirm that inflation expectations have been partially de-anchored during the financial crisis. Yet, our results suggest that inflation expectations have been successfully re-anchored ever since.
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Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 28, SFB 649 Papers, ISSN:1860-5664