Anchoring of Consumers’ Inflation Expectations

Research output: Working paperWorking papers

Standard

Anchoring of Consumers’ Inflation Expectations. / Dräger, Lena; Lamla, Michael J.
Zurich: KOF Swiss Economic Institute, ETH Zurich, 2013. (KOF Working Papers; No. 339).

Research output: Working paperWorking papers

Harvard

Dräger, L & Lamla, MJ 2013 'Anchoring of Consumers’ Inflation Expectations' KOF Working Papers, no. 339, KOF Swiss Economic Institute, ETH Zurich, Zurich. https://doi.org/10.3929/ethz-a-009920757

APA

Dräger, L., & Lamla, M. J. (2013). Anchoring of Consumers’ Inflation Expectations. (KOF Working Papers; No. 339). KOF Swiss Economic Institute, ETH Zurich. https://doi.org/10.3929/ethz-a-009920757

Vancouver

Dräger L, Lamla MJ. Anchoring of Consumers’ Inflation Expectations. Zurich: KOF Swiss Economic Institute, ETH Zurich. 2013 Jul. (KOF Working Papers; 339). doi: 10.3929/ethz-a-009920757

Bibtex

@techreport{31c448f636d64f80ae470219b411c2f8,
title = "Anchoring of Consumers{\textquoteright} Inflation Expectations",
abstract = "In this paper we explore the degree of anchoring of consumers{\textquoteright} long-run inflation expectations. If expectations are firmly anchored, short- and long-run expectations should show no comovement in response to transitory shocks. Utilizing the University of Michigan Survey of Consumer{\textquoteright}s rotating panel microstructure, we can identify changes in inflation expectations of individual consumers over time. Our results indicate that long-run inflation expectations became more anchored over the last decades. While the degree of comovement fell significantly after 1996, the probability of a joint adjustment stayed constant. Regarding the possible determinants, we find that consumers{\textquoteright} rising interest rate expectations and perceived news on the monetary policy stance have a detrimental effect on the anchoring of long-run expectations. This effect is no longer present in the post-1996 period. Notably, a positive effect of perceived news on government debt on the degree of comovement emerges after 1996, alluding to a potentially problematic link between fiscal and monetary policy.",
keywords = "Economics, Anchoring, Inflation expectations, microdata, news",
author = "Lena Dr{\"a}ger and Lamla, {Michael J.}",
note = ".",
year = "2013",
month = jul,
doi = "10.3929/ethz-a-009920757",
language = "English",
series = "KOF Working Papers",
publisher = "KOF Swiss Economic Institute, ETH Zurich",
number = "339",
address = "Switzerland",
type = "WorkingPaper",
institution = "KOF Swiss Economic Institute, ETH Zurich",

}

RIS

TY - UNPB

T1 - Anchoring of Consumers’ Inflation Expectations

AU - Dräger, Lena

AU - Lamla, Michael J.

N1 - .

PY - 2013/7

Y1 - 2013/7

N2 - In this paper we explore the degree of anchoring of consumers’ long-run inflation expectations. If expectations are firmly anchored, short- and long-run expectations should show no comovement in response to transitory shocks. Utilizing the University of Michigan Survey of Consumer’s rotating panel microstructure, we can identify changes in inflation expectations of individual consumers over time. Our results indicate that long-run inflation expectations became more anchored over the last decades. While the degree of comovement fell significantly after 1996, the probability of a joint adjustment stayed constant. Regarding the possible determinants, we find that consumers’ rising interest rate expectations and perceived news on the monetary policy stance have a detrimental effect on the anchoring of long-run expectations. This effect is no longer present in the post-1996 period. Notably, a positive effect of perceived news on government debt on the degree of comovement emerges after 1996, alluding to a potentially problematic link between fiscal and monetary policy.

AB - In this paper we explore the degree of anchoring of consumers’ long-run inflation expectations. If expectations are firmly anchored, short- and long-run expectations should show no comovement in response to transitory shocks. Utilizing the University of Michigan Survey of Consumer’s rotating panel microstructure, we can identify changes in inflation expectations of individual consumers over time. Our results indicate that long-run inflation expectations became more anchored over the last decades. While the degree of comovement fell significantly after 1996, the probability of a joint adjustment stayed constant. Regarding the possible determinants, we find that consumers’ rising interest rate expectations and perceived news on the monetary policy stance have a detrimental effect on the anchoring of long-run expectations. This effect is no longer present in the post-1996 period. Notably, a positive effect of perceived news on government debt on the degree of comovement emerges after 1996, alluding to a potentially problematic link between fiscal and monetary policy.

KW - Economics

KW - Anchoring

KW - Inflation expectations

KW - microdata

KW - news

U2 - 10.3929/ethz-a-009920757

DO - 10.3929/ethz-a-009920757

M3 - Working papers

T3 - KOF Working Papers

BT - Anchoring of Consumers’ Inflation Expectations

PB - KOF Swiss Economic Institute, ETH Zurich

CY - Zurich

ER -

DOI