利率钉住与逆转之谜：预期的作用

摘要

We revisit the reversal puzzle: a counterintuitive contraction of inflation in response to an interest rate peg. We show that its occurrence is intimately related to the degree of agents' anticipation. If agents perfectly anticipate the peg, reversals occur depending on the duration of the peg. If they do not anticipate the peg, reversals are absent. In the case of imperfect anticipation, implemented by a Markov‐switching framework, we measure the degree of anticipation by the frequency of the peg regime. Even if the frequency of the peg takes on a value much larger than empirically plausible, the reversal puzzle is absent.