Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/146184
Authors: 
Nautz, Dieter
Netšunajev, Aleksei
Strohsal, Till
Year of Publication: 
2016
Series/Report no.: 
SFB 649 Discussion Paper 2016-015
Abstract: 
His paper introduces structural VAR analysis as a tool for investigating the anchoring of inflation expectations. We show that U.S. consumers' inflation expectations are anchored in the long run because macro-news shocks are long-run neutral for long-term inflation expectations. The identification of structural shocks helps to explain why inflation expectations deviate from the central bank's target in the short run. Our results indicate that the recent decline of long-term inflation expectations does not result from deanchoring macro-news but can be attributed to downward adjustments of consumers' expectations about the central bank's inflation target.
Subjects: 
Inflation Expectations
Michigan Survey
Structural VAR
Markov-Switching Heteroskedasticity
JEL: 
E31
E52
E58
Document Type: 
Working Paper

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