Template-Type: ReDIF-Paper 1.0
Author-Name: James Yetman
Author-X-Name-First: James
Author-X-Name-Last: Yetman
Title: Pass-through from short-horizon to long-horizon inflation expectations, and the anchoring of inflation expectations
Abstract: We investigate pass-through from short-horizon to long-horizon inflation forecasts as a way to assess the anchoring of inflation expectations. We find an overall decline in the pass-through in our sample, with the share of economies having anchored expectations increasing over time. We then investigate what might explain the increase in anchoring. Inflation targeting plays an important role. Low policy rates and persistent deviations of inflation from target are correlated with a decline in expectations' pass-through. This suggests that longer-term expectations remain well anchored, despite recent low inflation out-turns in many economies.
Length: 31 pages
Creation-Date: 2020-10
File-URL: https://www.bis.org/publ/work895.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/work895.htm
File-Format: text/html
Number: 895
Keywords: consensus forecasts, inflation expectations anchoring
Classification-JEL: E31, E58
Handle: RePEc:bis:biswps:895