Abrupt monetary policy change and unanchoring of inflation expectations

• 成果类型: Article
• 署名作者: Bonomo, Marco; Carvalho, Carlos; Eusepi, Stefano; Perrupato, Marina; Abib, Daniel; Ayres, Joao; Matos, Silvia
• 署名单位: Insper; Pontificia Universidade Catolica do Rio de Janeiro; University of Texas System; University of Texas Austin; Inter-American Development Bank; Western University (University of Western Ontario); Getulio Vargas Foundation
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2024.103576
• 发表日期: 2024
• 关键词: Inflation expectations; monetary policy; Anchored expectations; Unanchored expectations; Monetary policy shifts; BRAZIL

摘要

Inflation expectations can quickly become unanchored if the central bank undermines its commitment to the inflation target. This paper exploits an abrupt change in monetary policy by the Brazilian Central Bank in 2011 and microdata from a daily survey of professional forecasters to establish support for this claim. Reanchoring came only years later, after a regime shift that included a change of government. A simple model with a well-defined concept of (un)anchored inflation expectations provides a coherent explanation and structural interpretation of our empirical findings.