Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/156259
Authors: 
Bauer, Christian
Weber, Sebastian
Year of Publication: 
2016
Series/Report no.: 
Research Papers in Economics No. 14/16
Publisher: 
Universität Trier, Fachbereich IV – Volkswirtschaftslehre, Trier
Abstract: 
We assess the efficiency of monetary policy to guide inflation expectations in high and low regimes. Using quantile regression we analyze the persistence of inflation expectations from the Consensus Economics Survey at different quantiles. We find a) empirical evidence that expectations are not anchored in the tails of their distribution and b) robust evidence for structural breaks for the USA and Italy. After the outbreak of the Global Financial crisis expectations become unanchored. The Fed's unconventional monetary policy at the ZLB in thus ineffective in guiding inflation expectations.
Subjects: 
inflation expectations
persistence
monetary policy
quantile regressions
structural breaks
quantile unit root test
zero lower bound
JEL: 
C22
C32
D84
E31
E52
Document Type: 
Working Paper

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