EconPapers    
Economics at your fingertips  
 

The anchoring of inflation expectations in the short and in the long run

Dieter Nautz, Aleksei Netšunajev and Till Strohsal

No 2016-015, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: His paper introduces structural VAR analysis as a tool for investigating the anchoring of inflation expectations. We show that U.S. consumers' inflation expectations are anchored in the long run because macro-news shocks are long-run neutral for long-term inflation expectations. The identification of structural shocks helps to explain why inflation expectations deviate from the central bank's target in the short run. Our results indicate that the recent decline of long-term inflation expectations does not result from deanchoring macro-news but can be attributed to downward adjustments of consumers' expectations about the central bank's inflation target.

Keywords: Inflation Expectations; Michigan Survey; Structural VAR; Markov-Switching Heteroskedasticity (search for similar items in EconPapers)
JEL-codes: E31 E52 E58 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/146184/1/857199099.pdf (application/pdf)

Related works:
Journal Article: THE ANCHORING OF INFLATION EXPECTATIONS IN THE SHORT AND IN THE LONG RUN (2019) Downloads
Working Paper: The Anchoring of Inflation Expectations in the Short and in the Long Run (2017) 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:zbw:sfb649:sfb649dp2016-015

Access Statistics for this paper

More papers in SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().

 
Page updated 2025-03-22
Handle: RePEc:zbw:sfb649:sfb649dp2016-015