Econ Papers Daily / 期刊论文
通胀预期的锚定及货币政策与成本推动因素的作用
Anchoring of inflation expectations and the role of monetary policy and cost‐push factors
摘要
This paper studies the anchoring of inflation expectations at the individual forecaster level. It proposes a novel measure of anchoring based on both point and density forecasts, and uses data from the European Central Bank Survey of Professional Forecasters to examine its co‐movement with expectations about monetary policy and key cost‐push factors. The anchoring measure is constructed for each forecaster and regressed on expectations regarding the European Central Bank policy rate, crude oil prices, the US dollar/euro exchange rate, and unit labor costs. Although the cross‐sectional mean of long‐term inflation expectations appears largely stable, substantial heterogeneity emerges during periods of heightened macroeconomic uncertainty, with some forecasters exhibiting signs of de‐anchoring. The results show that individual anchoring is systematically related to expectations about future policy rates and unit labor cost changes. In addition, these relationships have strengthened since 2020 and display asymmetries depending on whether inflation expectations lie above or below the target.
中文摘要
摘要 本文从个体预测者层面研究通胀预期的锚定情况。本文提出了一种基于点预测和密度预测的新型锚定度量方法，并利用欧洲央行专业预测者调查数据，考察其与货币政策预期及关键成本推动因素之间的协同变动关系。该锚定度量针对每位预测者构建，并基于其对欧洲央行政策利率、原油价格、美元/欧元汇率及单位劳动力成本的预期进行回归分析。尽管长期通胀预期的截面均值总体保持稳定，但在宏观经济不确定性加剧时期，预测者之间呈现出显著异质性，部分预测者表现出脱锚迹象。结果表明，个体锚定程度与未来政策利率及单位劳动力成本变化的预期存在系统性关联。此外，自2020年以来，这些关联性有所增强，且根据通胀预期高于或低于目标水平而呈现非对称特征。