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

Dieter Nautz, Laura Pagenhardt and Till Strohsal

The North American Journal of Economics and Finance, 2017, vol. 40, issue C, 103-115

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: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (37)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:40:y:2017:i:c:p:103-115

DOI: 10.1016/j.najef.2017.02.002

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