New evidence on the evolution of the anchoring of inflation expectations

Buono, Inés; Formai, Sara

doi:10.1016/j.jmacro.2018.04.003

Cited by 32 publications

(17 citation statements)

References 12 publications

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“…At the end of the sample, in mid-2016, inflation expectations were broadly anchored in both economies. Buono and Formai (2018) investigate the degree of anchoring of inflation expectations in different advanced economies using data from Consensus Economics and time-varying parameter regressions. Inflation expectations in the euro area have become de-anchored shortly after the global financial crisis.…”

Section: Introductionmentioning

confidence: 99%

Anchored or de-anchored? That is the question

Corsello

Neri

Tagliabracci

2021

European Journal of Political Economy

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This paper shows that long-term inflation expectations have become de-anchored from the ECB Governing Council's inflation aim. The long-term expectations in the ECB's Survey of Professional Forecasters have not returned to the levels that prevailed before the 2013-14 period of disinflation, and their distribution is still skewed towards lower inflation levels. Moreover, long-term expectations have become sensitive to short-term ones and to negative inflation surprises. Forecasters who participated in most of the surveys are the most responsive to short-term developments in inflation.

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Section: Introductionmentioning

confidence: 99%

Anchored or de-anchored? That is the question

Corsello

Neri

Tagliabracci

2021

European Journal of Political Economy

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“…This measure is employed in several previous studies(Beechey, Johannsen, and Levin 2011;Galati, Poelhekke, and Zhou 2011;Gürkaynak, Levin, and Swanson 2010;IMF 2016;Garcia and Werner 2018;De Pooter et al 2014). Other previous studies employ different measures of anchoring of inflation expectations: the deviation of long-term inflation expectations from an inflation target(Buono and Formai 2018;Bordo and Siklos 2017), variance of inflation expectations(Grishchenko, Mouabbi, and Renne, 2017), and dispersion of inflation forecasts(Capistrán and Ramos-Francia 2010). These measures are highly correlated(IMF 2018).…”

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confidence: 99%

“…IMF (2016) andBuono and Formai (2018) also estimate models with the time-varying parameters. IMF (2016) also uses a Kalman filter model but does not include other factors (αt) Buono and Formai (2018). estimate their model over a rolling window in which the sample periods change over time.4 The results remain robust when αt is not included in the model.…”

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confidence: 99%

Inflation Expectations: Review and Evidence

Kose¹,

Matsuoka²,

Panizza³

et al. 2019

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This paper presents a comprehensive examination of the determination and evolution of inflation expectations, with a focus on emerging market and developing economies (EMDEs). The results suggest that long-term inflation expectations in EMDEs are not as well anchored as those in advanced economies, despite notable improvements over the past two decades. Indeed, in EMDEs, long-term inflation expectations are more sensitive to both domestic and global inflation shocks. However, EMDEs tend to be more successful in anchoring inflation expectations in the presence of an inflation targeting regime, high central bank transparency, strong trade integration, and a low level of public debt.Abstract. This paper presents a comprehensive examination of the determination and evolution of inflation expectations, with a focus on emerging market and developing economies (EMDEs). The results suggest that long-term inflation expectations in EMDEs are not as well anchored as those in advanced economies, despite notable improvements over the past two decades. Indeed, in EMDEs, long-term inflation expectations are more sensitive to both domestic and global inflation shocks. However, EMDEs tend to be more successful in anchoring inflation expectations in the presence of an inflation targeting regime, high central bank transparency, strong trade integration, and a low level of public debt.

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“…Similar …ndings were presented by Scharnagl and Stapf (2011), using a di¤erent methodology and data set, as well as van der Cruijsen and Demertzis (2011) who …nd that, on average, expectations of national in ‡ation rates appear to have become less anchored than expectations of Euro area average in ‡ation. Buono and Formai (2018), too, found that Euro area in ‡ation expectations became less anchored post-GFC.…”

Section: Discussionmentioning

confidence: 97%

Three dimensions of central bank credibility and inferential expectations: The Euro zone

Henckel

Menzies

Moffatt

et al. 2019

Journal of Macroeconomics

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We use the behavior of in ‡ation among Eurozone countries to provide information about the degree of credibility of the European Central Bank (ECB) since 2008. We de…ne credibility along three dimensions-o¢ cial target credibility, cohesion credibility and anchoring credibility-and show in a new econometric framework that the latter has deteriorated in recent history; that is, price setters are less likely to rely on the ECB target when forming in ‡ation expectations.

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New evidence on the evolution of the anchoring of inflation expectations

Cited by 32 publications

References 12 publications

Anchored or de-anchored? That is the question

Anchored or de-anchored? That is the question

Inflation Expectations: Review and Evidence

Three dimensions of central bank credibility and inferential expectations: The Euro zone

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