Seminar "Measuring inflation anchoring and uncertainty: A US and euro area comparison" by Olesya Grishchenko, Board of Governors of the Federal Reserve System
Please register by sending an email to [email protected] with your full name, surname and university/work-place until 5 July, 16:00.
Seminar language: English
We use several US and euro-area surveys of professional forecasters to estimate a dynamic factor model of inflation with time-varying uncertainty. We obtain survey-consistent distributions of future inflation at any horizon, both in the US and the euro area. In particular, our methodology allows us to compute synthetic measures of inflation expectations and inflation uncertainty in closed form. Additionally, we propose a measure of the anchoring of inflation expectations, which accounts for inflation uncertainty. Our results suggest that following the Great Recession, inflation anchoring improved in the US, while mild de-anchoring occurred in the euro-area, which was relatively short-lived. As of our sample end, both areas appear to be equally anchored.