Shocks to Inflation Expectations /

The consensus among central bankers is that higher inflation expectations can drive up inflation today, requiring tighter policy. We assess this by devising a novel method for identifying shocks to inflation expectations, estimating a semi-structural VAR where an expectation shock is identified as t...

Ausführliche Beschreibung

Bibliographische Detailangaben
1. Verfasser: Barrett, Philip
Weitere Verfasser: Adams, Jonathan
Format: Zeitschrift
Sprache:English
Veröffentlicht: Washington, D.C. : International Monetary Fund, 2022.
Schriftenreihe:IMF Working Papers; Working Paper ; No. 2022/072
Schlagworte:
Online Zugang:Full text available on IMF
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520 3 |a The consensus among central bankers is that higher inflation expectations can drive up inflation today, requiring tighter policy. We assess this by devising a novel method for identifying shocks to inflation expectations, estimating a semi-structural VAR where an expectation shock is identified as that which causes measured expectations to diverge from rationality. Using data for the United States, we find that a positive inflation expectations shock is deflationary and contractionary: inflation, output, and interest rates all fall. These results are inconsistent with the standard New Keynesian model, which predicts inflation and interest rate hikes. We discuss possible resolutions to this new puzzle. 
538 |a Mode of access: Internet 
650 7 |a Deflation  |2 imf 
650 7 |a Expectations  |2 imf 
650 7 |a Inflation  |2 imf 
650 7 |a Price Level  |2 imf 
650 7 |a Speculations  |2 imf 
700 1 |a Adams, Jonathan. 
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