Suchergebnisse

And what's up with the University of Michigan survey measure? Figure 1: CPI inflation year-on-year (black), median expected from Survey of Professional Forecasters (blue +), median expected from Michigan Survey of Consumers (red), median from NY Fed Survey of Consumer Expectations (light green), forecast from Cleveland Fed (pink), all in %. NBER defined peak-to-trough recession […]

Michigan is down in July, while business unit costs are up slightly. Figure 1: Year-on-year actual CPI inflation (bold black), and expected inflation from University of Michigan (red), NY Fed (light green), Survey of Professional Forecasters (blue +), Coibion-Gorodnichenko SoFIE mean (sky blue squares), and unit cost growth rate (chartreuse), all in %. Source: BLS, […]

This paper proposes an ESTAR modeling framework to analyze the anchoring of inflation expectations. Anchoring criteria are empirical estimates of a market implied inflation target as well as the strength of the anchor that holds expectations at the target. Results from daily financial market expectations in the United States, European Monetary Union, United Kingdom and Sweden indicate: First, shorter-term expectations are better anchored than longer-term expectations. Second, expectations are best anchored in the EU, followed by US, Sweden and UK. Third, during the crisis market implied targets mostly decline while the strength of the anchor remains mostly unaffected.

Do inflation expectations react to changes in the volatility of monetary policy? Yes, but only until the global financial crisis. This paper investigates whether increasing the dispersion of monetary policy shocks, which is interpreted as elevated uncertainty surrounding monetary policy, affects the inflation expectation formation process. Based on U.S. data since the 1980s and a stochastic volatility-in-mean structural VAR model we find that monetary policy uncertainty reduces both inflation expectations and inflation. However, after the Great Recession this link has disappeared, even when controlling for the Zero Lower Bound. ; Reagieren die Inflationserwartungen auf Veränderungen der geldpolitischen Volatilität? Ja, allerdings nur bis zur globalen Finanzkrise. In diesem Beitrag wird untersucht, ob eine zunehmende Dispersion geldpolitischer Schocks, die als erhöhte Unsicherheit über die Geldpolitik interpretiert wird, den Prozess der Inflationserwartungsbildung beeinflusst. Basierend auf US-Daten seit den 1980er Jahren und einem strukturellen VAR Modell mit stochastischer Volatilität finden wir, dass geldpolitische Unsicherheit sowohl die Inflationserwartungen als auch die Inflation reduziert. Nach der Großen Rezession ist dieser Zusammenhang jedoch verschwunden, selbst wenn man für die Null-Prozent-Untergrenze der nominalen Zinssätze kontrolliert.

We document a new fact: in U.S., European and Japanese surveys, households do not expect deflation, even in environments where persistent deflation is a strong possibil- ity. This fact stands in contrast to the standard macroeconomic models with rational expectations. We extend a standard New Keynesian model with a zero-lower bound on inflation expectations. Unconventional monetary policies, such as forward guid- ance, are weaker. In liquidity traps, the government spending output multiplier is finite, and adverse aggregate supply shocks are not expansionary. The possibility of confidence-driven liquidity traps is attenuated.

Uncertainty about the future path of inflation affects consumption, saving and investment decisions as well as wage negotiations and price setting of firms. These decisions are based on inflation expectations which are a key determinant of inflation in the New Keynesian Phillips Curve. In this paper we therefore explicitly analyse the relationship between inflation expectations, the inflation rate and the output gap and the variance of these variables as uncertainty measures by using a VAR-GARCH-inmean model. Our main finding is that inflation expectation uncertainty is positively related to expected inflation and to the inflation rate. ; Unsicherheit über den künftigen Verlauf der Inflation wirkt sich auf Konsum-, Spar- und Investitionsentscheidungen sowie auf Lohnverhandlungen und Preisgestaltung aus, da sie die Erwartungsbildung erschwert. Die Bedeutung von Inflationserwartungen wird in der Neukeynesianischen Phillipskurve betont, in der die Inflationsrate von der erwarteten Inflation und der Produktionslücke abhängt. In dieser Arbeit analysieren wir dementsprechend den Zusammenhang zwischen Inflationserwartungen, Inflationsrate und Produktionslücke und den Unsicherheitsmaßen dieser Variablen mit Hilfe eines VAR-GARCH-in-mean-Modells. Unsere Ergebnisse zeigen, dass die Unsicherheit der Inflationserwartungen positiv mit der erwarteten Inflation und mit der Inflationsrate zusammenhängt. Daraus folgt, dass die Geldpolitik nicht nur die Inflationserwartungen, sondern auch die damit verbundene Unsicherheit steuern sollte.