Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/73138 
Erscheinungsjahr: 
2012
Schriftenreihe/Nr.: 
MAGKS Joint Discussion Paper Series in Economics No. 35-2012
Verlag: 
Philipps-University Marburg, Faculty of Business Administration and Economics, Marburg
Zusammenfassung: 
In this paper we systematically evaluate how central banks respond to inflation deviations from target. We present a stylized New Keynesian model in which agents' inflation expectations are sensitive to inflation deviations from target. To (re-)establish credibility, optimal monetary policy under discretion is shown to set higher interest rates today if average inflation exceeded the target in the past. Moreover, policy responds non-linearly to past inflation gaps. This is reflected in an additional term in the central bank's optimal instrument rule, which we refer to as the credibility loss. Augmenting a standard Taylor (1993) rule with the latter term, we provide empirical evidence for the interest rate response for a sample of nine IT or quasi-IT economies. We find that past deviations from the inflation target are feeding back into the reaction function of seven central banks and that this influence is economically meaningful. A deteroriation in credibility forces central bankers to undertake larger interest rate steps (ceteris paribus).
Schlagwörter: 
Inflation expectations
credibility
reaction function
Taylor rule
JEL: 
C32
E31
E43
E52
E58
Dokumentart: 
Working Paper

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