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Are US inflation expectations re-anchored?

Dieter Nautz () and Till Strohsal

Economics Letters, 2015, vol. 127, issue C, 6-9

Abstract: If long-term inflation expectations are well-anchored, they should be unaffected by short-term economic news. This letter introduces news-regressions with multiple endogenous breaks to investigate the de- and re-anchoring of US inflation expectations. We confirm earlier evidence on the de-anchoring of expectations driven by the outbreak of the crisis. Our results indicate that expectations have not been re-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: E31 E52 E58 C22 (search for similar items in EconPapers)
Date: 2015
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