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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/56667
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| Title: | | Assessing the anchoring of inflation expectations  |
| Authors: | | Strohsal, Till Winkelmann, Lars |
| Issue Date: | | 2012 |
| Series/Report no.: | | SFB 649 discussion paper 2012-022 |
| Abstract: | | This paper proposes an ESTAR modeling framework to analyze the anchoring of inflation expectations. Anchoring criteria are empirical estimates of a market implied inflation target as well as the strength of the anchor that holds expectations at the target. Results from daily financial market expectations in the United States, European Monetary Union, United Kingdom and Sweden indicate: First, shorter-term expectations are better anchored than longer-term expectations. Second, expectations are best anchored in the EU, followed by US, Sweden and UK. Third, during the crisis market implied targets mostly decline while the strength of the anchor remains mostly unaffected. |
| Subjects: | | monetary policy anchoring inflation expectations break even inflation rates ESTAR model |
| JEL: | | E52 E58 C32 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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