Are Long-Run Inflation Expectations Anchored More Firmly in the Euro Area than in the United States?
By Meredith J. Beechey, Benjamin K. Johannsen, Andrew T. Levin. 2008
240 citations recorded by the source corpus.
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)
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/9a8f4b92c3477dcdad603c7b2b482ddd7f8c27dc
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Citations in the corpus
- Do Inflation Expectations Propagate the Inflationary Impact of Real Oil Price Shocks?: Evidence from the Michigan Survey (2015, unknown): “The empirical results are consistent with a wide variety of evidence suggesting U.S. inflation expectations are sensitive to real oil price shocks (see, inter alia, Harris et al., 2009; Beechey et al., 2011; Trehan, 2011; Arora et al., 2013; Ehrmann et al., 2014; Coibion and Gorodnichenko, 2014).”
- Anchoring of Inflation Expectations in the Euro Area: Recent Evidence Based on Survey Data (2016, unknown): “…risks are assessed by focusing solely on long-term expectations, but the responses of long-term inflation expectations to macroeconomic news (e.g. Beechey et al., 2011; Nautz and Strohsal 2015) or to shorter-term inflation expectations (e.g. Lamla and Dräger, 2013) have also been studied.”
- Tail Co-Movement in Inflation Expectations as an Indicator of Anchoring (2017, background): “Making a cross-country comparison, Beechey et al. (2011) conclude that, over the same time span, expectations were more firmly anchored in the euro area than in the US.”