Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/186036 
Year of Publication: 
2014
Citation: 
[Journal:] Swiss Journal of Economics and Statistics [ISSN:] 2235-6282 [Volume:] 150 [Issue:] 2 [Publisher:] Springer [Place:] Heidelberg [Year:] 2014 [Pages:] 55-87
Publisher: 
Springer, Heidelberg
Abstract: 
Long-run inflation expectations should not respond to economic news if the central bank is seen as credibly committed to stabilising inflation. In this paper we find that since the onset of the global financial crisis, medium and long-term inflation expectations implied by inflation swaps in the euro area, United Kingdom and United States have become less responsive to actual inflation and changes in oil and food prices. This suggests that the credibility of the central banks in these economies remains intact, despite large increases in their balance sheets due to unconventional monetary policy measures and the introduction of explicit forward guidance at the zero lower bound. We also find an increase in autocorrelation of inflation expectations, which suggests that shocks have a longer-lasting impact than before the financial crisis.
Subjects: 
Inflation expectations
central bank credibility
financial crisis
JEL: 
E58
E31
G01
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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