credibility based on the gap between inflation expectations and the official inflation target. While this new index addresses the … sample of inflation-targeting emerging countries. Second, by means of EGARCH estimations, we formally prove the existence of …

based on the gap between inflation expectations and the official inflation target. While this new index addresses the main … of inflation-targeting emerging countries. Second, by means of EGARCH estimations, we formally prove the existence of a …

We study how households adjust their medium-term inflation expectations under the new ECB inflation targeting strategy …. Survey respondents make little difference between the previous strategy of targeting inflation rates close to but below 2 … potential off-target inflation expect moderately higher medium-term inflation. Respondents asked to assume a scenario of current …

We build a novel term structure model for pricing synthetic euro area core inflation-linked swaps, a hypothetical swap … contract indexed to core inflation. Our approach relies on a term structure model of traded headline inflation-linked swap … rates, which we assume span core inflation. The model provides estimates of market-based expectations for core inflation, as …

We study how uncertainty shocks affect the macroeconomy across the inflation cycle using a nonlinear stochastic … volatility-in-mean VAR. When inflation is high, uncertainty shocks raise inflation and depress real activity more sharply. A non …-linear New Keynesian model with second-moment shocks and trend inflation explains this via an 'inflation-uncertainty amplifier …

We use several US and euro-area surveys of professional forecasters to estimate a dynamic factor model of inflation … featuring time-varying uncertainty. We obtain survey-consistent distributions of future inflation at any horizon, both in the US … and the euro area. Equipped with this model, we propose a novel measure of the anchoring of inflation expectations that …

inflation expectations increased leading to fears of their un-anchoring. Using the first principal component of commodity prices …. Using a Phillips Curve framework we find a structural change after the collapse of Lehman Brothers when inflation …

accountability through transparency leads to a lower expected rate of inflation and less stabilization of supply shocks … Geldpolitik und die Frage, wer die endgültige Verantwortung für die Geldpolitik trägt. Das Papier zeigt auf, dass die …