Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/161477
Authors: 
Hachula, Michael
Nautz, Dieter
Year of Publication: 
2017
Series/Report no.: 
Discussion Paper, School of Business & Economics: Economics 2017/12
Abstract: 
Well-anchored inflation expectations should not react to short-term oriented macroeconomic news. This paper analyzes the dynamic response of inflation expectations to macro news shocks in a structural VAR model. As identification of structural macro news shocks is controversial, we use a proxy SVAR model where, by construction, unobservable macro news shocks correlate with observable surprises from macroeconomic news announcements. Our results confirm that macro news shocks have no impact on U.S. long-term inflation expectations in the long run. In the short run, however, the degree of expectations de-anchoring is non-negligible.
Subjects: 
dynamics of inflation expectations
expectations anchoring
macroeconomic news
proxy SVAR
JEL: 
E31
E52
C32
Document Type: 
Working Paper

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