Template-Type: ReDIF-Paper 1.0
Author-Name: Richhild Moessner
Author-X-Name-First: Richhild
Author-X-Name-Last: Moessner
Author-Name: Előd Takáts
Author-X-Name-First: Előd
Author-X-Name-Last: Takáts
Title: How well-anchored are long-term inflation expectations?
Abstract: We study the anchoring properties of long-term inflation expectations in emerging and advanced economies, as a measure of monetary policy credibility. We proxy anchoring by how short-term expectations relate to long-term inflation expectations. We find that long-term inflation expectations are less well anchored in emerging than in advanced economies for the period 1996-2019. These findings do not significantly differ between before and after the global financial crisis or away from and at the effective lower bound. We also find that persistent deviations of inflation from target affect long-term inflation expectations in advanced economies. Yet, persistent deviations do not have a stronger impact at the effective lower bound. Moreover, we find evidence for asymmetry: higher than targeted inflation has a larger impact on long-term inflation expectations.
Length: 35 pages
Creation-Date: 2020-06
File-URL: https://www.bis.org/publ/work869.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work869.htm
File-Format: text/html
Number: 869
Classification-JEL: E31, E58
Keywords: inflation expectations, anchoring, ZLB, monetary policy credibility
Handle: RePEc:bis:biswps:869