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Tail Co-movement in Inflation Expectations as an Indicator of Anchoring

其他書名	No 1997
出版	European Central Bank, 2017
ISBN	92899271949789289927192
URL	http://books.google.com.hk/books?id=CRtJzQEACAAJ&hl=&source=gbs_api

註釋We analyze the degree of anchoring of in inflation expectations in the euro area during the post-crisis period, with a focus on the time span from 2014 onwards when long-term beliefs have substantially drifted away from the policy target. Using a new estimation technique, we look at tail co-movements between short- and long-term distributions of inflation expectations, estimated from daily quotes of inflation derivatives. We find that, during 2014, average correlations between short- and long-term inflation expectations rose sharply; moreover, negative tail events impacting short-term beliefs have been increasingly channeled to long-term views, triggering both downward revisions in expectations and upward changes in uncertainty. Overall, our results signal a risk of downside de-anchoring of long-term inflation expectations.