| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7349040 | Economics Letters | 2018 | 5 Pages |
Abstract
Well-anchored inflation expectations should not react to macroeconomic news. This paper analyzes the dynamics of inflation expectations in a proxy SVAR model, where macro news shocks are identified by their correlation with surprises from macroeconomic news announcements. Our results confirm that macro news shocks have no impact on U.S. long-term inflation expectations in the long run. In the short run, however, the degree of expectations de-anchoring is non-negligible.
Keywords
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Michael Hachula, Dieter Nautz,