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The dynamic impact of macroeconomic news on long-term inflation expectations

Michael Hachula and Dieter Nautz ()

Economics Letters, 2018, vol. 165, issue C, 39-43

Abstract: Well-anchored inflation expectations should not react to macroeconomic news. This paper analyzes the dynamics of inflation expectations in a proxy SVAR model, where macro news shocks are identified by their correlation with surprises from macroeconomic news announcements. Our results confirm that macro news shocks have no impact on U.S. long-term inflation expectations in the long run. In the short run, however, the degree of expectations de-anchoring is non-negligible.

Keywords: Dynamics of inflation expectations; Expectations anchoring; Macroeconomic news; Proxy SVAR (search for similar items in EconPapers)
JEL-codes: E31 E52 C22 (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:165:y:2018:i:c:p:39-43

DOI: 10.1016/j.econlet.2018.01.015

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