Three dimensions of central bank credibility and inferential expectations: The Euro zone

Timo Henckel; Gordon Menzies; Peter Moffatt; Daniel Zizzo

doi:10.1016/j.jmacro.2019.01.012

Three dimensions of central bank credibility and inferential expectations: The Euro zone

Timo Henckel, Gordon Menzies, Peter Moffatt, Daniel Zizzo

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

24 Downloads (Pure)

Abstract

We use the behavior of inflation among Eurozone countries to provide information about the degree of credibility of the European Central Bank (ECB) since 2008. We define credibility along three dimensions–official target credibility, cohesion credibility and anchoring credibility–and show in a new econometric framework that the latter has deteriorated in recent history; that is, price setters are less likely to rely on the ECB target when forming inflation expectations.

Original language	English
Pages (from-to)	294-308
Number of pages	15
Journal	Journal of Macroeconomics
Volume	60
Early online date	13 Feb 2019
DOIs	https://doi.org/10.1016/j.jmacro.2019.01.012
Publication status	Published - Jun 2019

Keywords

C51
D84
E31
E52
credibility
inflation
expectations
anchoring
monetary union
inferential expectations

Access to Document

10.1016/j.jmacro.2019.01.012

Accepted_ManuscriptAccepted author manuscript, 1.32 MBLicence: CC BY-NC-ND

Peter Moffatt
- P.Moffattuea.acuk
- School of Economics - Professor of Econometrics
- Norwich Institute for Healthy Aging - Member
- Centre for Behavioural and Experimental Social Science - Member
- Applied Econometrics And Finance - Member
- Behavioural Economics - Member
Person: Research Group Member, Research Centre Member, Academic, Teaching & Research

Cite this

@article{07a91d25d233482c843f04fd5b0f6d10,

title = "Three dimensions of central bank credibility and inferential expectations: The Euro zone",

abstract = "We use the behavior of inflation among Eurozone countries to provide information about the degree of credibility of the European Central Bank (ECB) since 2008. We define credibility along three dimensions–official target credibility, cohesion credibility and anchoring credibility–and show in a new econometric framework that the latter has deteriorated in recent history; that is, price setters are less likely to rely on the ECB target when forming inflation expectations.",

keywords = "C51, D84, E31, E52, credibility, inflation, expectations, anchoring, monetary union, inferential expectations",

author = "Timo Henckel and Gordon Menzies and Peter Moffatt and Daniel Zizzo",

year = "2019",

month = jun,

doi = "10.1016/j.jmacro.2019.01.012",

language = "English",

volume = "60",

pages = "294--308",

journal = "Journal of Macroeconomics",

issn = "0164-0704",

publisher = "Elsevier",

}

TY - JOUR

T1 - Three dimensions of central bank credibility and inferential expectations: The Euro zone

AU - Henckel, Timo

AU - Menzies, Gordon

AU - Moffatt, Peter

AU - Zizzo, Daniel

PY - 2019/6

Y1 - 2019/6

N2 - We use the behavior of inflation among Eurozone countries to provide information about the degree of credibility of the European Central Bank (ECB) since 2008. We define credibility along three dimensions–official target credibility, cohesion credibility and anchoring credibility–and show in a new econometric framework that the latter has deteriorated in recent history; that is, price setters are less likely to rely on the ECB target when forming inflation expectations.

AB - We use the behavior of inflation among Eurozone countries to provide information about the degree of credibility of the European Central Bank (ECB) since 2008. We define credibility along three dimensions–official target credibility, cohesion credibility and anchoring credibility–and show in a new econometric framework that the latter has deteriorated in recent history; that is, price setters are less likely to rely on the ECB target when forming inflation expectations.

KW - C51

KW - D84

KW - E31

KW - E52

KW - credibility

KW - inflation

KW - expectations

KW - anchoring

KW - monetary union

KW - inferential expectations

U2 - 10.1016/j.jmacro.2019.01.012

DO - 10.1016/j.jmacro.2019.01.012

M3 - Article

VL - 60

SP - 294

EP - 308

JO - Journal of Macroeconomics

JF - Journal of Macroeconomics

SN - 0164-0704

ER -

Three dimensions of central bank credibility and inferential expectations: The Euro zone

Abstract

Keywords

Access to Document

Profiles

Peter Moffatt

Cite this