Are Long-Run Inflation Expectations Anchored More Firmly in the Euro Area than in the United States?

• 成果类型: Article
• 署名作者: Beechey, Meredith J.; Johannsen, Benjamin K.; Levin, Andrew T.
• 署名单位: Sveriges Riksbank; Northwestern University; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.3.2.104
• 发表日期: 2011
• 页码: 104-129
• 关键词: interest-rates; POLICY; news

摘要

This paper compares the evolution of long-run inflation expectations in the euro area and the United States, using evidence from financial markets and surveys of professional forecasters. Survey data indicate that long-run inflation expectations are reasonably well anchored in both economies but reveal substantially greater dispersion across forecasters' long-horizon projections of US inflation. Analysis of daily data on inflation swaps and nominal-indexed bond spreads, which gauge compensation for expected inflation and inflation risk, also suggests that long-run inflation expectations are more firmly anchored in the euro area than in the United States. (JEL D84, E31, E37, E52, E58)