The Efficiency of Monetary Policy when Guiding Inflation Expectations

Christian Bauer and Sebastian Weber

No 2016-14, Research Papers in Economics from University of Trier, Department of Economics

Abstract: 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.

Keywords: Inflation expectations; persistence; monetary policy; quantile regressions; structural breaks; quantile unit root test; zero lower bound (search for similar items in EconPapers)
JEL-codes: C22 C32 D84 E31 E52 (search for similar items in EconPapers)
Pages: 52 pages
Date: 2016
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:trr:wpaper:201614

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