Effects of ECB balance sheet policy announcements on inflation expectations

Richhild Moessner

Applied Economics Letters, 2015, vol. 22, issue 6, 483-487

Abstract: We investigate whether ECB balance sheet policy announcements in the wake of the global financial crisis have affected the ECB's monetary policy credibility as measured by long-term inflation expectations, by looking at their effects on euro area inflation swap rates of maturities up to 10 years. We consider asset purchase programmes and long-term refinancing operations with maturities above 6 months. We find that these announcements only led to a slight increase in long-term inflation expectations. We therefore find no strong evidence to suggest that ECB balance sheet policy announcements have led to much higher long-term inflation expectations, suggesting that the monetary policy credibility of the ECB has not been harmed by these policies.

Date: 2015
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DOI: 10.1080/13504851.2014.950791

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