The evolution of the anchoring of inflation expectations

Ines Buono and Sara Formai ()
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Sara Formai: Bank f Italy

No 321, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: We investigate the degree of anchoring in inflation expectations for different advanced economies using data from professional forecasters' surveys. We define expectations as anchored when movements in short-run expectations do not trigger movements in expectations at longer horizons. Using time-varying parameter regressions, we provide evidence that anchoring has varied noticeably across economies and over time. In particular, we find that starting from the second half of 2008, inflation expectations in the euro area, unlike in the US and in the UK, have shown signs of a de-anchoring.

Keywords: anchoring; inflation expectations; nonparametric estimation (search for similar items in EconPapers)
JEL-codes: C14 D84 E31 E52 (search for similar items in EconPapers)
Date: 2016-03
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_321_16

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