The Evolution of the Anchoring of Inflation Expectations
29 Pages Posted: 29 Apr 2016
Date Written: March 18, 2016
We investigate the degree of anchoring in inflation expectations for different advanced economies using data from professional forecasters' surveys. We define expectations as anchored when movements in short-run expectations do not trigger movements in expectations at longer horizons. Using time-varying parameter regressions, we provide evidence that anchoring has varied noticeably across economies and over time. In particular, we find that starting from the second half of 2008, inflation expectations in the euro area, unlike in the US and in the UK, have shown signs of a de-anchoring.
Keywords: anchoring, inflation expectations, nonparametric estimation
JEL Classification: E31, E52, D84, C14
Suggested Citation: Suggested Citation