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The role of long-term inflation expectations for the transmission of monetary policy shocks

Diegel, Max; Nautz, Dieter - 2020 - This version: November 10, 2020

monetary policy shock. In line with a re-anchoring channel of monetary policy, we find that long-term inflation expectations …

Persistent link: https://www.econbiz.de/10012311576

Less bang for the buck? : assessing the role of inflation uncertainty for U.S. monetary policy transmission in a data rich environment

Herwartz, Helmut; Rohloff, Hannes - 2018

We investigate the relationship between inflation uncertainty and monetary policy transmission in the U.S. economy. Monetary policy shocks are identified within the framework of nonlinear structural factor-augmented VARs which allow us to analyze several complementary hypotheses connecting IU...

Persistent link: https://www.econbiz.de/10011931106

Credibility of central banks inflation forecasts

Tura-Gawron, Karolina - 2016 - This version 19/02/2016

Modern monetary policy focuses on credibility and shaping consumers' inflation expectations. According to the concept of inflation forecast targeting (IFT), inflation forecasts play a crucial role in the instrument rate decision-making process and may be a specific intermediate target. The aim...

Persistent link: https://www.econbiz.de/10011802291

Relative Price Shocks, Inflation Expectations, and the Role of Monetary Policy

Siklos, Pierre L. - 2009

The aim of this paper is to rely on a wide variety of forecasts and survey based estimates of inflationary expectations since the early 1990s for a group of 9 economies, 5 of which explicitly target inflation, and ask: To what extent are disagreements over forecasts of inflation driven by...

Persistent link: https://www.econbiz.de/10013156550

Monetary policy shocks and firms' bank loan expectations

Ferrando, Annalisa; Grazzini, Caterina Forti - 2023

, with a contractionary shock leading to a downward revision of expectations. Second, we show that firms' response depends on … the size and the sign of the shock, with only large and contractionary shocks having a significant negative effect on … expectations. Third, we observe that the different components of central bank communication (i.e. the pure monetary policy shock …

Persistent link: https://www.econbiz.de/10014362639

The term structure of expectations

Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel; … - 2021

Economic theory predicts that intertemporal decisions depend critically on expectations about future outcomes. Using …

Persistent link: https://www.econbiz.de/10012660381

Expectations, monetary policy, and labor markets : lessons from the Great Depression

Reicher, Christopher Phillip - 2009

This paper estimates a series of shocks to hit the US economy during the Great Depression, using a New Keynesian model with unemployment and bargaining frictions. Shocks to long-run inflation expectations appear to account for much of the cyclical behavior of employment, while an increase in...

Persistent link: https://www.econbiz.de/10003872040

Inflation expectations spillovers between the United States and euro area

Netšunajev, Aleksei; Winkelmann, Lars - 2014

We quantify spillovers of inflation expectations between the United States (US) and Euro Area (EA) based on break-even inflation (BEI) rates. In contrast to previous studies, we model US and EA BEI rates jointly in a structural vector autoregressive (SVAR) model. The SVAR approach allows to...

Persistent link: https://www.econbiz.de/10010255370

Inflation Expectations and a Model-Based Core Inflation Measure in Colombia

Vargas, Hernando - 2016

Empirical evidence following conventional tests suggests that inflation expectations in Colombia might not be rational, although the period of disinflation included in the sample makes it difficult to verify this conclusion. Inflation expectations display close ties with observed past and...

Persistent link: https://www.econbiz.de/10012979143

Shocks to Inflation Expectations

Barrett, Philip; Adams, Jonathan J. - 2022

-structural VAR where an expectation shock is identified as that which causes measured expectations to diverge from rationality. Using … data for the United States, we find that a positive inflation expectations shock is deflationary and contractionary …

Persistent link: https://www.econbiz.de/10013289451