One of the most important advantages of an inflation target is that it helps to reduce uncertainty about future inflation. However, this confidence may be undermined if actual inflation continuously deviates from the target level. We examine how inflation uncertainty relates to the presence of an inflation target and deviations of inflation from the targeted level. Inflation uncertainty is quantified by means of an unobserved components stochastic volatility model that allows to distinguish between permanent and transitory inflation uncertainty. While long-term inflation appears largely stable in most economies, the short-term inflation uncertainty is found to be time-varying. Most notably, short-term inflation uncertainty is high if inflation rates are below the target level. This is particularly relevant for economies which are currently confronted with the presence of persistently low-inflation rates. Our findings suggest that announcing higher inflation targets as it is currently discussed may be costly in terms of provoking higher inflation uncertainty.

通胀目标最重要的优势之一是它有助于减少未来通胀的不确定性。然而，如果实际通胀持续偏离目标水平，这种信心可能会受到削弱。我们研究了通胀不确定性如何与通胀目标的存在以及通胀与目标水平的偏差相关。通货膨胀不确定性通过未观察到的成分随机波动率模型进行量化，该模型允许区分永久性和暂时性通货膨胀不确定性。虽然大多数经济体的长期通胀似乎基本稳定，但发现短期通胀不确定性是随时间变化的。最值得注意的是，如果通胀率低于目标水平，则短期通胀不确定性很高。这对于目前面临持续低通胀率的经济体尤其重要。我们的研究结果表明，就引发更高的通胀不确定性而言，宣布目前正在讨论的更高的通胀目标可能代价高昂。