We investigate US inflation expectations de-anchoring by analyzing tail behavior of inflation swaps. We extract probabilities of jumps in inflation expectations along with their potential jump severity and look through an event study approach and a regression analysis on how Fed policy impacted these. Our findings suggest that recent increases in interest rates and FOMC announcements of hikes did not manage to re-anchor short term inflation expectations as both probabilities and intensity of potential inflation boom/crash anticipations remain broadly independent of announcements and short-term interest rates dynamics.

中文翻译：

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美联储是否未能重新锚定预期？通胀掉期跳跃分析

我们通过分析通胀互换的尾部行为来调查美国通胀预期的解除锚定。我们提取了通胀预期跳跃的概率及其潜在的跳跃严重性，并通过事件研究方法和回归分析来了解美联储政策如何影响这些。我们的研究结果表明，近期利率上调和 FOMC 加息公告未能重新锚定短期通胀预期，因为潜在通胀繁荣/崩溃预期的概率和强度在很大程度上仍然独立于公告和短期利率动态。