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

Timo Henckel; Gordon D. Menzies; Peter Moffatt; Daniel J. Zizzo

doi:10.1016/j.jmacro.2019.01.012

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

Timo Henckel^*, Gordon D. Menzies, Peter Moffatt, Daniel J. Zizzo

^*Corresponding author for this work

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

4 Citations (Scopus)

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
DOIs	https://doi.org/10.1016/j.jmacro.2019.01.012
Publication status	Published - Jun 2019

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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 = "Anchoring, Credibility, Expectations, Inferential expectations, Inflation, Monetary union",

author = "Timo Henckel and Menzies, {Gordon D.} and Peter Moffatt and Zizzo, {Daniel J.}",

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AU - Henckel, Timo

AU - Menzies, Gordon D.

AU - Moffatt, Peter

AU - Zizzo, Daniel J.

PY - 2019/6

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KW - Anchoring

KW - Credibility

KW - Expectations

KW - Inferential expectations

KW - Inflation

KW - Monetary union

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DO - 10.1016/j.jmacro.2019.01.012

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VL - 60

SP - 294

EP - 308

JO - Journal of Macroeconomics

JF - Journal of Macroeconomics

ER -

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

Abstract

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