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Managing the risks of inflation expectation de-anchoring
This paper investigates the implications of a potential loss of credibility in the central bank’s
ability to bring inflation back to target in the medium-term (”de-anchoring”). We propose a monetary
policy framework in which the central bank accounts for de-anchoring risks using a regime-switching
model. First, we derive the optimal monetary policy strategy, which balances the trade-off between
the welfare costs of a stronger response to inflation and the benefits of preserving the central bank’s
credibility. Next, we apply this framework in a medium-scale regime-switching DSGE model and
develop a method to assess de-anchoring risks in real time. Using the post-COVID inflation episode
in the euro area as a case study, we find that an explicit ”looking-through” strategy would have
only modestly increased de-anchoring risks. These findings highlight the importance of monitoring
de-anchoring risks in monetary policy design.”
ability to bring inflation back to target in the medium-term (”de-anchoring”). We propose a monetary
policy framework in which the central bank accounts for de-anchoring risks using a regime-switching
model. First, we derive the optimal monetary policy strategy, which balances the trade-off between
the welfare costs of a stronger response to inflation and the benefits of preserving the central bank’s
credibility. Next, we apply this framework in a medium-scale regime-switching DSGE model and
develop a method to assess de-anchoring risks in real time. Using the post-COVID inflation episode
in the euro area as a case study, we find that an explicit ”looking-through” strategy would have
only modestly increased de-anchoring risks. These findings highlight the importance of monitoring
de-anchoring risks in monetary policy design.”
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