Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/119436
Authors: 
Strohsal, Till
Melnick, Rafi
Nautz, Dieter
Year of Publication: 
2015
Series/Report no.: 
SFB 649 Discussion Paper 2015-028
Abstract: 
Well-anchored inflation expectations have become a key indicator for the credibility of a central bank's inflation target. Since the outbreak of the recent financial crisis, the existence and the degree of de-anchoring of U.S. inflation expectations have been under debate. This paper introduces an encompassing time-varying parameter model to analyze the changing degree of U.S. inflation expectations anchoring. We confirm that inflation expectations have been partially de-anchored during the financial crisis. Yet, our results suggest that inflation expectations have been successfully re-anchored ever since.
Subjects: 
Anchoring of Inflation Expectations
Financial Crisis
Break-Even Inflation Rates
Time-Varying Parameter
JEL: 
E31
E52
E58
C22
Document Type: 
Working Paper

Files in This Item:
File
Size
499.46 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.