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When did inflation expectations in the Euro area de-anchor?

Author

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  • Andrea Fracasso
  • Rocco Probo

Abstract

Long-term inflation expectations in the Euro area (EA) remained well anchored during the global financial crisis. Less is known about the following period. By investigating whether inflation expectations have become sensitive to the arrival of economic news, this article empirically analyzes the behavior of inflation expectations in the EA during the most recent period. It finds evidence that the de-anchoring of expectations started in December 2011 and never reversed. This is in line with the more aggressive stance held by the European Central Bank (ECB) in the following months as well as with the pattern of ECB Professional Forecasters’ expectations.

Suggested Citation

  • Andrea Fracasso & Rocco Probo, 2017. "When did inflation expectations in the Euro area de-anchor?," Applied Economics Letters, Taylor & Francis Journals, vol. 24(20), pages 1481-1485, November.
  • Handle: RePEc:taf:apeclt:v:24:y:2017:i:20:p:1481-1485
    DOI: 10.1080/13504851.2017.1287846
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    References listed on IDEAS

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    1. Peter Hördahl & Oreste Tristani, 2012. "Inflation Risk Premia In The Term Structure Of Interest Rates," Journal of the European Economic Association, European Economic Association, vol. 10(3), pages 634-657, May.
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    Cited by:

    1. repec:eee:jmacro:v:57:y:2018:i:c:p:39-54 is not listed on IDEAS
    2. Lucio Gobbi & Ronny Mazzocchi & Roberto Tamborini, 2018. "Monetary policy, de-anchoring of inflation expectations, and the 'new normal'," DEM Working Papers 2018/04, Department of Economics and Management.

    More about this item

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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