In this study, using the recent recursive unit root tests proposed by Phillips et al. (2015), we identify and date-stamp periods where food and energy prices deviate explosively relative to other prices in the economy and analyse the implications in terms of anchoring inflation expectations. During the period from January 2003 to July 2018, we have detected the existence of such periods for 17 out of 27 EU countries. Identifying these explosive periods is particularly important since evidence reveals that consumers change, i.e., revise their inflation expectations during periods when headline consumer prices deviate explosively from core prices. Furthermore, it is realized that consumers take macroeconomic variables into account as well as past inflation when forming inflation expectations in both normal and explosive periods. On the other hand, there are particular differences among groups of countries while adjusting their inflation expectations during explosive phases. A common feature for all the countries is that during explosive periods, consumers change and update their inflation expectations on the basis of information coming from the interest rate. More specifically, consumers in all the countries perceive a higher current interest rate as an indication of higher future inflation, leading to higher inflation expectations in explosive periods. A particularly important policy implication of these findings is that periods of explosive deviations in headline prices from core prices should be monitored closely while designing policies to anchor inflation expectations.

中文翻译：

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消费者的通货膨胀预期如何应对爆炸性的食品和能源价格时期：欧盟国家的证据

在这项研究中，使用了Phillips等人最近提出的递归单元根检验。（2015年），我们确定了食品和能源价格相对于经济中其他价格爆炸性偏离的日期和时间戳，并分析了锚定通胀预期的含义。在2003年1月至2018年7月期间，我们发现了27个欧盟国家中有17个存在此类时期。识别这些爆炸性时期特别重要，因为有证据表明，消费者的变化，即在整体消费者价格与核心价格发生爆炸性偏离的时期内，修改了他们的通胀预期。此外，人们认识到，消费者在正常时期和爆炸时期都在形成通货膨胀预期时会考虑宏观经济变量以及过去的通货膨胀。另一方面，在爆炸阶段调整国家的通货膨胀预期时，国家集团之间存在特别的差异。所有国家的一个共同特征是，在爆炸时期，消费者根据来自利率的信息来更改和更新其通胀预期。更具体地说，所有国家/地区的消费者都认为当前的利率较高是未来通货膨胀率上升的迹象，从而导致爆炸时期的通货膨胀预期提高。这些发现的一个特别重要的政策含义是，在设计旨在锚定通胀预期的政策时，应严密监控总体价格与核心价格爆炸性偏离的时期。