The dynamic impact of macroeconomic news on long-term inflation expectations
Michael Hachula and
Dieter Nautz ()
No 2017/12, Discussion Papers from Free University Berlin, School of Business & Economics
Well-anchored inflation expectations should not react to short-term oriented macroeconomic news. This paper analyzes the dynamic response of inflation expectations to macro news shocks in a structural VAR model. As identification of structural macro news shocks is controversial, we use a proxy SVAR model where, by construction, unobservable macro news shocks correlate with observable 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 C32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Journal Article: The dynamic impact of macroeconomic news on long-term inflation expectations (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:fubsbe:201712
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