Abstract

https://ssrn.com/abstract=2772509
 


 



The Evolution of the Anchoring of Inflation Expectations


Ines Buono


Bank of Italy

Sara Formai


Bank of Italy

March 18, 2016

Bank of Italy Occasional Paper No. 321

Abstract:     
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.

Number of Pages in PDF File: 29

Keywords: anchoring, inflation expectations, nonparametric estimation

JEL Classification: E31, E52, D84, C14


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Date posted: April 29, 2016  

Suggested Citation

Buono, Ines and Formai, Sara, The Evolution of the Anchoring of Inflation Expectations (March 18, 2016). Bank of Italy Occasional Paper No. 321. Available at SSRN: https://ssrn.com/abstract=2772509 or http://dx.doi.org/10.2139/ssrn.2772509

Contact Information

Ines Buono (Contact Author)
Bank of Italy ( email )
Via Nazionale 91
Rome, 00184
Italy
Sara Formai
Bank of Italy ( email )
Via Nazionale 91
Rome, 00184
Italy
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