Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154428
Authors: 
Ciccarelli, Matteo
García, Juan Angel
Montes-Galdón, Carlos
Year of Publication: 
2017
Series/Report no.: 
ECB Working Paper 1995
Abstract: 
The effects of the unconventional monetary policy (UMP) measures undertaken by the U.S. Federal Reserve (and other major central banks) remain a crucial topic for research. This paper investigates their effects on the anchoring of long-term inflation expectations, a key dimension of UMP that has been largely overlooked. Our analysis provides two key insights. First, the anchoring of inflation expectations deteriorated significantly since late 2008. Second, the expansion of the Fed’s balance sheet contributed decisively to prevent and gradually reverse that de-anchoring during the Great Recession. Using a SVAR framework extended to incorporate policy news, we show that accounting for the predictable path of the balance sheet following the Fed’s asset purchase announcements is fundamental to properly assess the effects of UMP.
Subjects: 
inflation expectations
news shocks
unconventional monetary policy
JEL: 
E43
E44
C52
C55
Document Type: 
Working Paper

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