We document that inflation risk in the U.S. varies significantly over time and is often asymmetric. To analyze the macroeconomic effects of these asymmetric risks within a tractable framework, we construct the beliefs representation of a general equilibrium model with skewed distribution of...

We study how heterogeneous attention to inflation across households affects the transmission of monetary policy. Using household-level surveys for the US and Australia, we first show that households' attention to inflation varies across income levels. Specifically, we find that high-income...

Word embeddings are vectors of real numbers associated with words, designed to capture semantic and syntactic similarity between the words in a corpus of text. We estimate the word embeddings of the European Central Bank's introductory statements at monetary policy press conferences by using a...

This paper investigates the determinants of inflation target credibility (ITC) using a unique survey we designed to measure the credibility of the ECB's inflation target. Containing over 200,000 responses from German consumers collected between January 2019 and November 2024, our dataset enables...

We investigate the effects of debt-capital ratio and expected inflation rate on the stability of the economy using a Minsky model and reconsidering Fisher's debt-deflation theory. We have developed static and dynamic models that formalize an inflation-targeting policy. The static model reveals...

We examine how speeches by Federal Open Market Committee (FOMC) members, including regional Fed presidents, shape private sector expectations. Speeches that signal rising inflationary pressures prompt both households and professional forecasters to raise their inflation expectations, consistent...

Under inflation forecast targeting, central banks such as the ECB adjust policy to keep expected inflation on target. We evaluate the ECB’s inflation forecasts: they are unbiased and efficient but contain little information at forecast horizons beyond three quarters. In a New Keynesian model...

This paper investigates the heterogeneity of inflation expectations among households, firms, and professionals across 14 economies. Using Bayesian model averaging and panel data regressions, we identify key determinants of inflation expectations, assess their stability over time, and evaluate...

This paper analyzes market-based probability distributions for long-run inflation expectations derived from inflation derivatives. We construct forward-looking distributions for five-year-ahead inflation to assess the likelihood that inflation will fall above, below, or near the Federal...

We propose novel measures to evaluate the risk profile of longer-term inflation expectations, using data on inflation probabilities from the ECB's Survey of Professional Forecasters (SPF). Unlike existing indicators, these measures specifically incorporate the central bank's inflation target....

This paper provides background information on the questionnaires and basic descriptive statistics for a representative survey of the German population, conducted on our behalf by Dynata in February-March 2025. The survey covers a range of topics related to inflation and economic issues,...

This paper examines the causal effect of supply constraints on inflation expectations, using a survey experiment conducted with a representative sample of German adults. Respondents first reported their prior beliefs about both official and personal inflation. They were then presented with...

We document how the interaction of supply chain pressures, elevated household inflation expectations, and firm pricing power contributed to the pandemic-era surge in consumer price inflation in the euro area. Initially, supply chain disruptions raised inflation, particularly in manufacturing,...

We study beliefs about fiscal dominance using a survey of German households. We first design and conduct a randomized controlled trial to identify how fiscal news impacts individuals' debt-to-GDP and inflation expectations. We document that the link between debt and inflation crucially depends...

We review recent research and experiences linking inflation and expectations, emphasizing what has been learned since 2020. One clear lesson is that the inflation expectations of most economic agents have been and remain unanchored. The unanchored nature of inflation expectations, in combination...

This paper estimates a New Keynesian model with a nonlinearity in the monetary policy rule to capture the practice of inflation targeting with target zones or tolerance bands. Private-sector agents form subjective expectations, update their beliefs over time using a perceived model of the...

By comparing the Bundesbank's BOP-HH and the ECB's CES-ECB household panel surveys focusing on inflation perceptions and expectations with omnibus surveys conducted in Germany in December 2021 and 2022, this paper examines potential sample selection bias stemming from (i) individuals'...

This paper uses data on 5-year gasoline price expectations from the US Michigan Survey of Consumers to investigate their role as a transmission channel for gasoline price shocks. Specifically, a Structural VAR model is estimated to carry out counterfactual analysis which shows that gasoline...

This study examines the dynamic relationship between inflation, inflation uncertainty, and economic performance in Mexico using the Generalized Autoregressive Conditional Heteroskedasticity-in-Mean (GARCH-M) and bivariate GARCH-in-mean (BGARCH-M) models. Based on monthly data from 1995 to 2019,...

During the post-pandemic inflation surge, many central banks actively used communication about the inflation outlook as a policy tool to limit spillovers from realized to expected inflation. We present novel survey evidence showing that the ECB's guidance about the projected inflation path...

We investigate the impact of high frequency monetary policy shocks in Brazil using daily data and Rigobon' s identification via heteroskedasticity. We show that positive changes in interest rates cause inflation expectations to decline and the exchange rate to appreciate. To the best of our...

We explore the implications of heterogeneous, history-dependent inflation expectations in a general equilibrium setting. We propose an experience-based expectations-augmented Kalman filter to represent consumers' heterogeneous inflation expectations, where heterogeneity arises from an...