Long-term inflation expectations and the transmission of monetary policy shocks: evidence from a SVAR analysis

DOI10.1016/J.JEDC.2021.104192MaRDI QIDQ2246771zbMATH OpenOpenAlexFDO

Authors Max Diegel, Dieter Nautz

Publication date 16 November 2021

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2021.104192

zbMATH Keywords

long-term inflation expectationsmonetary policyre-anchoring channelstructural scenario analysisstructural VAR

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

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Cites work

• DOES MONETARY POLICY GENERATE RECESSIONS?
• Inference based on structural vector autoregressions identified with sign and zero restrictions: theory and applications
• Inference for VARs identified with sign restrictions
• Measuring the stance of monetary policy in zero lower bound environments
• Sign restrictions, structural vector autoregressions, and useful prior information
• Structural vector autoregressive analysis
• The analytics of SVARs: a unified framework to measure fiscal multipliers

Cited in

(5)

• Effects of Fed policy rate forecasts on real yields and inflation expectations at the zero lower bound
• Gains from anchoring inflation expectations: evidence from the taper tantrum shock
• The impact of EMU on inflation expectations
• Monetary policy and the term structure of inflation expectations with information frictions
• THE FEDERAL RESERVE'S IMPLICIT INFLATION TARGET AND MACROECONOMIC DYNAMICS: AN SVAR ANALYSIS

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