Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56667
Authors: 
Strohsal, Till
Winkelmann, Lars
Year of Publication: 
2012
Series/Report no.: 
SFB 649 discussion paper 2012-022
Abstract: 
This paper proposes an ESTAR modeling framework to analyze the anchoring of inflation expectations. Anchoring criteria are empirical estimates of a market implied inflation target as well as the strength of the anchor that holds expectations at the target. Results from daily financial market expectations in the United States, European Monetary Union, United Kingdom and Sweden indicate: First, shorter-term expectations are better anchored than longer-term expectations. Second, expectations are best anchored in the EU, followed by US, Sweden and UK. Third, during the crisis market implied targets mostly decline while the strength of the anchor remains mostly unaffected.
Subjects: 
monetary policy
anchoring
inflation expectations
break even inflation rates
ESTAR model
JEL: 
E52
E58
C32
Document Type: 
Working Paper

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