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| Tekijä: | Gürkaynak, R.S. Levin, A. Swanson, E. |
| Otsikko: | Does inflation targeting anchor long-run inflation expectations? Evidence from the U.S., UK, and Sweden |
| Lehti: | Journal of the European Economic Association
2010 : VOL 8:6 p. 1208-1242 |
| Asiasana: | inflation policy interest rates monetary policy expectations central banks |
| Kieli: | eng |
| Tiivistelmä: | This paper examines the extent to which inflation expectations have been more firmly anchored in the United Kingdom - a country with a specific inflation target - than in the United States - a country with no such target - using the difference between far-ahead forward rates on nominal and inflation-indexed bonds as a measure of compensation for expected inflation and inflation risks at long horizons. It is shown that far-head forward inflation compensation in the U.S. exhibits substantial volatility - particularly at low frequencies - and displays a highly remarkable degree of sensitivity to economic news. The findings are supported by comparisons of dispersion in longer-run inflation expectations of professional forecasters and by evidence from Sweden, another inflation targeting country. |
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