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HomeA new indicator of inflation expectations anchoring. No 1996 / January 2017
A new indicator of inflation expectations anchoring. No 1996 / January 2017
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We compare the degree of anchoring of inflation expectations in the euro area, the United States and the United Kingdom, focusing on the post-crisis period. First of all, we estimate a set of measures of average and tail correlation using inflation swaps and options, following Natoli and Sigalotti (2016). To quantify the degree of anchoring, we also propose a new indicator based on the results of a logistic regression, measuring the odds that strong negative shocks to short-term expectations are channelled to large declines in long-term expectations. The results reveal, for the euro area, an increase in the de-anchoring risk during the last quarter of 2014; while showing a significant reduction after the peak, our de-anchoring indicator remains high and volatile in 2015 and 2016. Expectations in the US and UK are instead found to be firmly anchored.
- Published:
- Corporate author(s): European Central Bank
- Personal author(s): Natoli, Filippo ; Sigalotti, Laura
- Themes: Economy — Finance
- Subject: econometrics , economic cycle , euro area , financial market , inflation , United Kingdom , United States
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| ISSN 1725-2806 | ISBN 978-92-899-2718-5 | DOI 10.2866/716127 | Catalogue number QB-AR-17-008-EN-N |
- Released on EU Publications:
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