EconPapers    
Economics at your fingertips  
 

The Time-Varying Degree of Inflation Expectations Anchoring

Till Strohsal, Rafi Melnick () and Dieter Nautz ()

No SFB649DP2015-028, SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649

Abstract: Well-anchored inflation expectations have become a key indicator for the credibility of a central bank’s inflation target. Since the outbreak of the recent financial crisis, the existence and the degree of de-anchoring of U.S. inflation expectations have been under debate. This paper introduces an encompassing time-varying parameter model to analyze the changing degree of U.S. inflation expectations anchoring. We confirm that inflation expectations have been partially de-anchored during the financial crisis. Yet, our results suggest that inflation expectations have been successfully re-anchored ever since.

Keywords: Anchoring of Inflation Expectations; Financial Crisis; Break-Even Inflation Rates; Time-Varying Parameter (search for similar items in EconPapers)
JEL-codes: E31 E52 E58 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Date: 2015-05
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)
http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2015-028.pdf (application/pdf)

Related works:
Journal Article: The time-varying degree of inflation expectations anchoring (2016) 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:hum:wpaper:sfb649dp2015-028

Access Statistics for this paper

More papers in SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649 Contact information at EDIRC.
Bibliographic data for series maintained by RDC-Team ().

 
Page updated 2019-10-17
Handle: RePEc:hum:wpaper:sfb649dp2015-028