The time-varying degree of inflation expectations anchoring

Till Strohsal, Rafi Melnick and Dieter Nautz

No 2015-028, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

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.

Keywords: Anchoring of Inflation Expectations; Financial Crisis; Break-Even Inflation Rates; Time-Varying Parameter (search for similar items in EconPapers)
JEL-codes: C22 E31 E52 E58 (search for similar items in EconPapers)
Date: 2015
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Journal Article: The time-varying degree of inflation expectations anchoring (2016)
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