The Anchoring of Inflation Expectations

通胀预期的锚定

• 批准号: 363880538
• 负责人: Professor Dr. Dieter Nautz
• 金额: --
• 依托单位: Deutsches Institut für Wirtschaftsforschung (DIW)
• 依托单位国家: 德国
• 项目类别: Research Grants
• 财政年份: 2017
• 资助国家: 德国
• 起止时间: 2016-12-31 至 2022-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/363880538?language=en
• 关键词: Anchoring; Inflation; Expectations

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.

从调查中得出或从通货膨胀指数债券中计算出的通货膨胀预期，已成为关于中央银行信誉及其货币政策立场是否适当的主要信息来源。 自金融危机爆发以来，各国央行越来越多地将其政策决定解释为需要维持良好的通胀预期。 然而，如何从经验上衡量通胀预期的锚定并不明显。 一方面，应用于低频预期数据的各种锚定标准与宏观经济理论只有松散的联系，并没有考虑到通货膨胀预期的动态和结构决定因素。 另一方面，来自金融市场的高频预期数据的信息内容似乎研究不足。 在这个项目中，我们开发和应用新的工具来分析锚定通货膨胀预期在两个互补的工作包。首先，我们在一个结构向量自回归（VAR）框架中探讨了通货膨胀预期的行为。这种分析可以分析各种结构性冲击，包括货币政策冲击，如何可能有助于（去）锚定通胀预期。其次，我们研究了高频数据的分析是否进一步揭示了通胀预期的锚定。我们探讨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，我们提供了欧元区和美国通货膨胀预期锚定的新证据。