Anchored Inflation Expectations

IF 6.3 1区 经济学 Q1 ECONOMICS
Carlos Carvalho, Stefano Eusepi, Emanuel Moench, Bruce Preston
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引用次数: 3

Abstract

We develop a theory of low-frequency movements in inflation expectations, and use it to interpret joint dynamics of inflation and inflation expectations for the United States and other countries over the postwar period. In our theory, long-run inflation expectations are endogenous. They are driven by short-run inflation surprises, in a way that depends on recent forecasting performance and monetary policy. This distinguishes our theory from common explanations of low-frequency properties of inflation. The model, estimated using only inflation and short-term forecasts from professional surveys, accurately predicts observed measures of long-term inflation expectations and identifies episodes of unanchored expectations. (JEL D83, D84, E12, E23, E31, E37, E52)
锚定通胀预期
我们发展了一种通货膨胀预期的低频运动理论,并用它来解释战后美国和其他国家的通货膨胀和通货膨胀预期的联合动态。在我们的理论中,长期通胀预期是内生的。它们受到短期通胀意外的驱动,这在某种程度上取决于近期的预测表现和货币政策。这将我们的理论与对暴胀低频特性的常见解释区别开来。该模型仅使用来自专业调查的通胀和短期预测进行估算,准确地预测了观察到的长期通胀预期指标,并确定了不稳定预期的情况。(凝胶d83, d84, e12, e23, e31, e37, e52)
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来源期刊
CiteScore
8.20
自引率
1.70%
发文量
58
期刊介绍: American Economic Journal: Macroeconomics focuses on studies of aggregate fluctuations and growth, and the role of policy in that context. Such studies often borrow from and interact with research in other fields, such as monetary theory, industrial organization, finance, labor economics, political economy, public finance, international economics, and development economics. To the extent that they make a contribution to macroeconomics, papers in these fields are also welcome.
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