Anchoring of Consumers’ Inflation Expectations: Evidence from Microdata

Lena Dräger and Michael Lamla

No 201305, Macroeconomics and Finance Series from University of Hamburg, Department of Socioeconomics

Abstract: In this paper we explore the degree of anchoring of consumers’ long-run inflation expectations. If expectations are firmly anchored, short- and long-run expectations should show no comovement in response to transitory shocks. Utilizing the University of Michigan Survey of Consumer’s rotating panel microstructure, we can identify changes in inflation expectations of individual consumers. Our results indicate that long-run inflation expectations became more anchored over time. While the degree of comovement fell significantly after 1996, the probability of a joint adjustment stayed constant. Regarding the possible determinants, we find that consumers’ rising interest rate expectations and perceived news on the monetary policy stance have a detrimental effect on the anchoring of long-run expectations. This effect is no longer present in the post-1996 period. Notably, a positive effect of perceived news on government debt on the degree of comovement emerges after 1996, alluding to a potentially problematic link between fiscal and monetary policy.

Keywords: Anchoring; inflation expectations; microdata. (search for similar items in EconPapers)
JEL-codes: D84 E31 E52 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2013-07
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
https://www.wiso.uni-hamburg.de/repec/hepdoc/macppr_5_2013.pdf First version, 2013 (application/pdf)

Related works:
Working Paper: Anchoring of Consumers' Inflation Expectations: Evidence from Microdata (2013)
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:hep:macppr:201305

Access Statistics for this paper

More papers in Macroeconomics and Finance Series from University of Hamburg, Department of Socioeconomics Contact information at EDIRC.
Bibliographic data for series maintained by Ulrich Fritsche ( this e-mail address is bad, please contact ).