Inflation Expectations Anchoring: New Insights from Micro Evidence of a Survey at High-Frequency and of Distributions

21 Pages Posted: 9 Sep 2019

See all articles by Nikos Apokoritis

Nikos Apokoritis

De Nederlandsche Bank

Gabriele Galati

De Nederlandsche Bank

Richhild Moessner

Bank for International Settlements (BIS)

Federica Teppa

Center for Research on Pensions and Welfare Policies (CeRP) - Department of Economics and Finance

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Date Written: September 4, 2019

Abstract

We shed new light on the anchoring of long-term euro area inflation expectations since the crisis by using micro evidence from a new survey at high (weekly) frequency. We find that long-term inflation expectations remained well anchored to the ECB's inflation aim, which has acted as a focal point. By contrast, we find no evidence that professional forecasts (reported by Consensus Economics) acted as focal points. But there are subtle signs of long-term inflation expectations not being perfectly well-anchored. Using measures based on the distribution of inflation expectations from a quarterly survey, namely uncertainty based on the full distribution, the probability of expected long-term inflation lying between 1.5% and 2.5%, and the effect of short-term on long-term deflation risk, we find that long-term euro area inflation expectations have remained well-anchored, and have become better-anchored between 2011 and 2018.

Keywords: inflation expectations

JEL Classification: E31, E58, F62

Suggested Citation

Apokoritis, Nikos and Galati, Gabriele and Moessner, Richhild and Teppa, Federica, Inflation Expectations Anchoring: New Insights from Micro Evidence of a Survey at High-Frequency and of Distributions (September 4, 2019). BIS Working Paper No. 809, Available at SSRN: https://ssrn.com/abstract=3448743

Nikos Apokoritis (Contact Author)

De Nederlandsche Bank ( email )

PO Box 98
1000 AB Amsterdam
Amsterdam, 1000 AB
Netherlands

Gabriele Galati

De Nederlandsche Bank ( email )

PO Box 98
1000 AB Amsterdam
Amsterdam, 1000 AB
Netherlands

Richhild Moessner

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

Federica Teppa

Center for Research on Pensions and Welfare Policies (CeRP) - Department of Economics and Finance ( email )

Via Real Collegio, 30
Moncalieri, Torino 10024
Italy
+39 11 6476 518 (Phone)
+39 11 6403 680 (Fax)

HOME PAGE: http://cerp.unito.it/Persone/ricercatori/cv_federica_teppa.htm

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