Partie III. La révision des cibles d’inflation de la Fed et de la BCE

Christophe Blot, Caroline Bozou and Paul Hubert

Revue de l'OFCE, 2021, vol. 174, issue 4, 149-172

Abstract: Both the Federal Reserve and the European Central Bank have announced revisions to their inflation targets in 2020 and 2021, respectively. In this paper, we analyse and compare the effects of these decisions by the two central banks on long-term inflation expectations as measured on the financial markets. We analyse both how this change was perceived on the day of the announcement and its effect on the dynamics of inflation expectations, their volatility and how they?ve responded to economic shocks since the announcement. The main results are as follows: the ECB?s announcement of its revised target had a negative impact on inflation expectations, whereas the Fed?s announcement had a positive impact. Moreover, while the Fed?s announcement has changed the dynamics of inflation expectations (higher average level and weaker autoregressive process), the ECB?s announcement has not impacted the dynamics, at least so far. Finally, the response of inflation expectations to monetary or financial policy shocks has not been influenced by these announcements, nor has the volatility of inflation expectations.

Keywords: monetary policy; central banks; mandate; inflation expectations (search for similar items in EconPapers)
Date: 2021
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