Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison
利用美国和欧元区的专业预测者调查数据，估计一个具有时变不确定性的通胀动态因子模型，提出考虑通胀不确定性的预期锚定新指标，发现大衰退后美国锚定改善而欧元区轻度脱锚。
Abstract We use several U.S. and euro‐area surveys of professional forecasters to estimate a dynamic factor model of inflation featuring time‐varying uncertainty. We obtain survey‐consistent distributions of future inflation at any horizon, both in the U.S. and the euro area. Equipped with this model, we propose a novel measure of the anchoring of inflation expectations that accounts for inflation uncertainty. Our results suggest that following the Great Recession, inflation anchoring improved in the United States, while mild de‐anchoring occurred in the euro area. As of our sample end, both areas appear to be almost equally anchored.