Front Matter Page
Statistics Department
Contents
1 Introduction
2 Data
2.1 Monetary Policy Surprises
2.2 Dispersion of Inflation Expectations
3 Empirical Analysis
3.1 The Response of Inflation Expectation Dispersion to Monetary Policy Surprises .
3.2 Narrower Time Windows
3.3 The Role of Market Surprises
3.4 Deviations From the Inflation Target
4 A Model of Inflation Expectations Dispersion
4.1 Full Information
4.2 Constant Degree of Information Rigidity
4.3 Aggregate State-Dependent Degree of Information Rigidity
4.4 Firm State-dependent Degree of Information Rigidity
5 Conclusions
References
A Model parameters
List of Figures
1 Timeline of Forecasts and Data Releases
2 Monetary Policy Surprises
3 Cumulative Distribution of Inflation Expectation Dispersion at Different Horizons
4 Inflation Expectations Dispersion at Different Horizons
5 Effects of Monetary Policy Surprises on the Term Structure of Inflation Expectation Dispersion
6 Alternative Pre- and Post-Meeting Windows
7 Response of Inflation Expectation Dispersion to an Interest Rate Shock, Constant Stickiness
8 Average Response of Inflation Expectation Dispersion to an Interest Rate Shock, Constant Stickiness
9 Response of Inflation Expectation Dispersion to a Persistent Interest Rate Shocks, Varying Stickiness
10 Response of Inflation Expectation Dispersion to a Persistent Interest Rate Shock, Aggregate State-Contingent Information Stickiness
11 Average Response of Inflation Expectation Dispersion to an Interest Rate Shock, Aggregate State-Contingent Information Stickiness
12 Response of Inflation Expectation Dispersion to a Persistent Interest Rate Shock, Firm State-Contingent Information Stickiness
13 Average Response of Inflation Expectation Dispersion to an Interest Rate Shock, Firm State-Contingent Information Stickiness
List of Tables
1 Descriptive Statistics of Time Windows
2 Effects of Federal Funds Rate Surprises on Inflation Expectation Dispersion
3 Effects of High-Frequency Monetary Policy Shocks on Inflation Expectation Dispersion
4 Effects of Individual and Market Surprises on Inflation Expectation Dispersion
5 Effects of Individual and NS-Based Market Surprises on Inflation Expectation Dispersion
6 Effects of Federal Funds Rate Surprises on Inflation Expectation Anchoring
A.1 Parameter Values