Anchored Inflation Expectationst

• 成果类型: Article
• 署名作者: Carvalho, Carlos; Eusepi, Stefano; Moench, Emanuel; Preston, Bruce
• 署名单位: Pontificia Universidade Catolica do Rio de Janeiro; University of Texas System; University of Texas Austin; Deutsche Bundesbank; Goethe University Frankfurt; Centre for Economic Policy Research - UK; University of Melbourne
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20200080
• 发表日期: 2023
• 页码: 1-47
• 关键词: monetary-policy rules; imperfect knowledge; us inflation; MODEL; uncertainty; INFORMATION; persistence; beliefs; shocks

摘要

We develop a theory of low-frequency movements in inflation expec-tations, and use it to interpret joint dynamics of inflation and infla-tion 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 mone-tary policy. This distinguishes our theory from common explana-tions of low-frequency properties of inflation. The model, estimated using only inflation and short-term forecasts from professional sur-veys, accurately predicts observed measures of long-term inflation expectations and identifies episodes of unanchored expectations. (JEL D83, D84, E12, E23, E31, E37, E52)