Disagreement about inflation expectations and monetary policy transmission

• 成果类型: Article
• 署名作者: Falck, E.; Hoffmann, M.; Huertgen, P.
• 署名单位: Goethe University Frankfurt; Deutsche Bundesbank
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.08.018
• 发表日期: 2021
• 页码: 15-31
• 关键词: Disagreement; Dispersed information; Disanchoring of inflation expectations; monetary policy transmission; State-dependent effects of monetary policy; local projections

摘要

Time-variation in disagreement about future inflation is a stylized fact in survey data, but little is known on how disagreement interacts with the efficacy of monetary policy. We show that a contractionary 100 bps U.S. monetary policy shock leads to a statistically significant increase in inflation and inflation expectations of up to 0.7 percentage points in times of high disagreement, whereas in times of low disagreement it leads to a significant decline in these variables of around 0.8 percentage points. We reconcile these state dependent effects with a regime-switching dispersed information New Keynesian model, where we calibrate the information structure to match disagreement about inflation expectations in U.S. data. ? 2019 Elsevier B.V. All rights reserved.