Monetary policy & anchored expectations-An endogenous gain learning model

• 成果类型: Article
• 署名作者: Gati, Laura
• 署名单位: European Central Bank
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2023.06.009
• 发表日期: 2023
• 页码: 37-47
• 关键词: Anchored expectations; Behavioral macro; monetary policy

摘要

Monetary policy is analyzed in a model with a potential unanchoring of inflation expectations. The degree of unanchoring is given by how sensitively the public's long-run inflation expectations respond to inflation surprises. I find that optimal policy moves the interest rate aggressively when expectations unanchor, allowing the central bank to accommodate inflation fluctuations when expectations are well-anchored. Furthermore, I estimate the modelimplied unanchoring process. The data suggest that unanchoring is nonlinear and asymmetric: expectations respond more sensitively to large or downside surprises than to smaller or upside ones.