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Central banks’ announcements and market inflation expectations
[Annonces des banques centrales et anticipations d’inflation des marchés]

Author

Listed:
  • Sophie Guilloux-Nefussi
  • Cristina Jude
  • Adrian Penalver
  • Urszula Szczerbowicz

Abstract

This post investigates how monetary policy announcements in the US and the euro area have affected inflation expectations since 2021. We show that a 100bp surprise increase in 2-year rates translated into a 30-50bp drop in medium-term inflation expectations. Central banks’ effective communication was the main factor influencing inflation expectations around these announcements. Ce billet analyse comment les annonces de politique monétaire aux États-Unis et dans la zone euro ont affecté les anticipations d’inflation depuis 2021. Nous montrons qu’un relèvement surprise de 100 points de base des taux à deux ans s’est traduit par une baisse de 30 à 50 points de base des anticipations d’inflation à moyen terme. La communication efficace des banques centrales a constitué le principal facteur influant sur les anticipations d’inflation autour de ces annonces.

Suggested Citation

  • Sophie Guilloux-Nefussi & Cristina Jude & Adrian Penalver & Urszula Szczerbowicz, . "Central banks’ announcements and market inflation expectations [Annonces des banques centrales et anticipations d’inflation des marchés]," Eco Notepad (in progress), Banque de France.
    • Handle: RePEc:bfr:econot:307
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