EconPapers    
Economics at your fingertips  
 

A Measure for Credibility: Tracking US Monetary Developments

Maria Demertzis, Massimiliano Marcellino and Nicola Viegi ()

DNB Working Papers from Netherlands Central Bank, Research Department

Abstract: Our objective is to identify a way of checking empirically the extent to which expectations are de-coupled from inflation, how well they might be anchored in the long run, and at what level. This methodology allows us then to identify a measure for the degree of anchorness, and as anchored expectations are associated with credibility, this will serve as a proxy for credibility. We apply this methodology to the US history of inflation since 1963 and examine how well our measure tracks the periods for which credibility is known to be either low or high. Of particular interest to the validity of the measure is the start of the Great Moderation. Following the narrative of a number of well documented incidents in this period, we check how well our measure captures both the evolution of credibility in US monetary policy, as well as reactions to inflation scares.

Keywords: Great Inflation; Great Moderation; Anchors for Expectations (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Date: 2008-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed

Downloads: (external link)
https://www.dnb.nl/binaries/Working%20Paper%20187-2008_tcm46-204147.pdf (application/pdf)

Related works:
Working Paper: A Measure for Credibility: Tracking US Monetary Developments (2008) Downloads
Working Paper: A Measure for Credibility: Tracking US Monetary Developments (2008) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:dnb:dnbwpp:187

Access Statistics for this paper

More papers in DNB Working Papers from Netherlands Central Bank, Research Department Contact information at EDIRC.
Bibliographic data for series maintained by Richard Heuver ().

 
Page updated 2019-08-20
Handle: RePEc:dnb:dnbwpp:187