The Anchoring of Inflation Expectations

从调查中得出的或从通胀指标化债券中计算出来的通胀预期，已成为衡量一家央行可信度及其货币政策立场是否恰当的主要信息来源。自金融危机爆发以来，各国央行越来越多地根据保持通胀预期稳定的需要来解释其政策决定。然而，如何从经验上衡量通胀预期的锚定并不明显。一方面，应用于低频率预期数据的各种锚定标准与宏观经济理论只是松散地联系在一起，并没有考虑到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内容似乎研究不足。在本项目中，我们在两个互补的工作包中开发并应用了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）框架下探讨通货膨胀预期的行为。这种分析允许分析各种结构性冲击，包括货币政策冲击，如何可能促成（去）锚定通胀预期。其次，我们调查高频数据的分析是否能进一步阐明通胀预期的锚定。我们探讨了盘中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.