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An Indicator of Inflation Expectations Anchoring
| Content Provider | Scilit |
|---|---|
| Author | Natoli, Filippo Sigalotti, Laura |
| Copyright Year | 2017 |
| Description | Journal: SSRN Electronic Journal We compare the degree of anchoring of inflation expectations in the euro area, the United States and the United Kingdom, focusing on the post-crisis period. First of all, we estimate a set of measures of average and tail correlation using inflation swaps and options, as proposed by Natoli and Sigalotti (2016). To quantify the degree of anchoring, we also propose a new indicator based on the results of a logistic regression, obtained by measuring the odds that strong negative shocks to short-term expectations are connected to large declines in long-term expectations. The results reveal an increase in the risk of de-anchoring during the last quarter of 2014 for the euro area. While showing a significant reduction after the peak, our de-anchoring indicator remains high and volatile for 2015 and 2016. Inflation expectations in the US and the UK are instead found to be firmly anchored. |
| Related Links | http://www.bancaditalia.it/pubblicazioni/temi-discussione/2017/2017-1103/en_tema_1103.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2947016 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.2947016 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2017-02-23 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Inflation Expectations Term Expectations |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
