The Anchoring of Inflation Expectations

通胀预期来自调查或通过通胀指数债券计算，已成为有关央行可信度及其货币政策立场适当性的主要信息来源。自金融危机爆发以来，各国央行越来越多地基于维持通胀预期的必要性来解释其政策决定。然而，如何从经验上衡量通胀预期的锚定并不明显。一方面，适用于低频预期数据的各种锚定标准仅与宏观经济理论松散联系，没有考虑通胀预期的动态和结构性决定因素。另一方面，来自金融市场的高频预期数据的信息含量似乎研究不足。在这个项目中，我们开发和应用了两个互补的工作包中用于分析通胀预期锚定的新工具。首先，我们在结构向量自回归(VAR)框架下考察了通胀预期的行为。这一分析可以分析各种结构性冲击，包括货币政策冲击，可能是如何导致通胀预期(脱锚)的。其次，我们调查了对高频数据的分析是否为通胀预期的锚定提供了额外的线索。我们探索日内数据在多大程度上可以作为当前通胀预期锚定程度的实时指标。在我们的实证应用中，我们为欧元区和美国的通胀预期锚定提供了新的证据。

Inflation expectations, taken from surveys or calculated from inflation-indexed bonds, have become a major source of information about the credibility of a central bank and the appropriateness of its monetary policy stance. Since the outbreak of the financial crisis, central banks have increasingly explained their policy decisions based on the need to maintain inflation expectations well-anchored. It is not obvious, however, how to empirically measure the anchoring of inflation expectations. On the one hand, the various anchoring criteria applied to low-frequent expectations data are only loosely connected to macroeconomic theory and do not account for the dynamics and structural determinants of inflation expectations. On the other hand, the information content of high-frequency expectations data derived from financial markets seems to be under-researched. In this project, we develop and apply new tools for analyzing the anchoring of inflation expectations in two complementary work packages. First, we explore the behavior of inflation expectations in a structural vector autoregressive (VAR) framework. This analysis allows to analyze how various structural shocks, including monetary policy shocks, may have contributed to a (de-) anchoring of inflation expectations. Second, we investigate whether the analysis of high frequency data sheds additional light on the anchoring of inflation expectations. We explore to what extent intraday data can serve as a real-time indicator for the current degree of inflation expectations anchoring. In our empirical applications, we provide new evidence on the anchoring of inflation expectations in the Euro Area and the United States.