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Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2015-028
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
Anchoring of Inflation Expectations
Financial Crisis
Break-Even Inflation Rates
Time-Varying Parameter
JEL: 
E31
E52
E58
C22
Dokumentart: 
Working Paper

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