The (de-)anchoring of inflation expectations: New evidence from the Euro area

Laura Pagenhardt, Dieter Nautz and Till Strohsal

No 2015-044, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: Well-anchored inflation expectations are a key factor for achieving economic stability. This paper provides new empirical results on the anchoring of long-term inflation expectations in the euro area. In line with earlier evidence, we find that euro area inflation expectations have been anchored until fall 2011. Since then, however, they respond significantly to macroeconomic news. Our results obtained from multiple endogenous break point tests suggest that euro area inflation expectations have remained de-anchored ever since.

Keywords: Anchoring of Inflation Expectations; Break-Even Inflation Rates; News-Regressions; Multiple Structural Break Tests (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 (de-)anchoring of inflation expectations: New evidence from the euro area (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb649:sfb649dp2015-044

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