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Inflation expectations, central bank credibility and the global financial crisis


Long-run inflation expectations should not respond to economic news if the central bank is seen as credibly committed to stabilising inflation. In this paper we find that since the onset of the global financial crisis, medium and long-term inflation expectations implied by inflation swaps in the euro area, United Kingdom and United States have become less responsive to actual inflation and changes in oil and food prices. This suggests that the credibility of the central banks in these economies remains intact, despite large increases in their balance sheets due to unconventional monetary policy measures and the introduction of explicit forward guidance at the zero lower bound. We also find an increase in autocorrelation of inflation expectations, which suggests that shocks have a longer-lasting impact than before the financial crisis.


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Correspondence to Petra Gerlach-Kristen.

Additional information

This paper was written while this author was at the Economic and Social Research Institute, Dublin. The views expressed are those of the authors and do not necessarily reflect those of De Nederlandsche Bank or the Swiss National Bank. We would like to thank Bill Allen, Sandra Eickmeier, Stefan Gerlach, Peter Hördahl, John Williams, an anonymous referee and seminar participants at the EEA annual conference 2013 and the Economic and Social Research Institute for helpful comments and discussions, and Jakub Demski for excellent support with the data.

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Gerlach-Kristen, P., Moessner, R. Inflation expectations, central bank credibility and the global financial crisis. Swiss J Economics Statistics 150, 55–87 (2014).

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  • E58
  • E31
  • G01


  • Inflation expectations
  • central bank credibility
  • financial crisis