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Title: The anchoring of inflation expectations in the short and in the long run Authors:  Till Strohsal - Freie Universitaet Berlin (Germany) [presenting]
Dieter Nautz - Freie Universitaet Berlin (Germany)
Aleksei Netsunajev - Tallinn University of Technology (Estonia)
Abstract: Structural VAR analysis is introduced as a tool for investigating the anchoring of inflation expectations. We show that U.S. consumers' inflation expectations are anchored in the long run because macro-news shocks are long-run neutral for long-term inflation expectations. The identification of structural shocks helps to explain why inflation expectations deviate from the central bank's target in the short run. Our results indicate that the recent decline of long-term inflation expectations does not result from deanchoring macro-news but can be attributed to downward adjustments of consumers' expectations about the central bank's inflation target.