We examine how the interaction between monetary policy and macroeconomic conditions affects inflation uncertainty in the … long-term. The unobservable inflation uncertainty is quantified by means of the slowly evolving long-term variance component … of inflation in the framework of the Spline-GARCH model (Engle and Rangel, 2008). For a cross-section of 13 developed …

This paper investigates the impact of ECB communication of its assessment of the economic outlook on ex-ante inflation … forecasts of inflation) but also makes forecasters less uncertain about their own beliefs, thus reducing ex-ante average … individual uncertainty. By combining and exploiting these types of ex-ante inflation uncertainty, results suggest that central …

) influences individuals' expectations and uncertainty about future inflation, and whether it anchors inflation expectations. We … find that higher trust in the ECB lowers inflation expectations on average, and significantly reduces uncertainty about … future inflation. Moreover, results from quantile regressions suggest that trusting the ECB increases (lowers) inflation …

Central banks in most advanced economies have reacted similarly to the increase in inflation that started in 2021. They … initially looked through the rising inflation by leaving monetary policy relatively unchanged. Then, after inflation continued … aiming to anchor drifting inflation expectations. Why might central banks want to look through supply-driven inflation …

. Overall, our results signal a risk of downside de-anchoring of long-term inflation expectations. …We analyze the degree of anchoring of inflation expectations in the euro area during the post-crisis period, with a …. Using a new estimation technique, we look at tail co-movements between short- and long-term distributions of inflation …

Did the decline in inflation rates from 2012 to 2015 and the low levels of market-based inflation expectations lead to … de-anchored inflation dynamics in the euro area? This paper is the first time-varying event study to investigate the … reaction of inflation-linked swap (ILS) rates - a market-based measure of inflation expectations - to macroeconomic surprises …

that the inflation bias can persist even when the central bank commits. A simple model is presented in which the central … bank precommits by setting the policy instrument, and the subsequent adjustment of inflation expectations is part of the … transmission mechanism. Generally there is still an inflation bias, despite the absence of a time-inconsistency problem. It is …