Anchored Inflation Expectations
By Carlos M. Carvalho, Stefano Eusepi, Emanuel Moench, Bruce Preston. Social Science Research Network, 2020
112 citations recorded by the source corpus.
We develop a theory of low-frequency movements in inflation expectations, and use it to interpret joint dynamics of inflation and inflation 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 monetary policy. This distinguishes our theory from common explanations of low-frequency properties of inflation. The model, estimated using only inflation and short-term forecasts from professional surveys, accurately predicts observed measures of long-term inflation expectations and identifies episodes of unanchored expectations. (JEL D83, D84, E12, E23, E31, E37, E52)
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/2d07f1c4ce62e7f0c3c2681bdd1e95a114ff9b5a
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In Economics and Econometrics
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Citations in the corpus
- The Slope of the Phillips Curve: Evidence from U.S. States (2020, result): “Carvalho et al. (2021) reach a similar conclusion using very different methods.”
- What's Up with the Phillips Curve? (2020, unknown): “…the large literature on the role of in ation expectations and their anchoring (e.g. Orphanides and Williams, 2005, Bernanke, 2007, Stock, 2011, Blanchard et al., 2015, Blanchard, 2016, Ball and Mazumder, 2019, Carvalho et al., 2019, Jorgensen and Lansing, 2019, and Barnichon and Mesters (2019b)).”