Do inflation expectations react to changes in the volatility of monetary policy? They have, but only until the global financial crisis. This paper investigates whether increasing the dispersion of monetary policy shocks, which is interpreted as elevated uncertainty surrounding monetary policy, affects the inflation expectation formation process. Based on US data since the 1980s and a stochastic volatility-in-mean structural VAR model, we find that monetary policy uncertainty reduces both inflation expectations and inflation. However, after the Great Recession this link has disappeared, even when controlling for the Zero Lower Bound.

中文翻译：

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货币政策的不确定性和通胀预期*

通胀预期对货币政策波动性的变化有反应吗？他们有，但只是在全球金融危机之前。本文研究了货币政策冲击分散度的增加，即货币政策不确定性的增加，是否会影响通胀预期的形成过程。基于 1980 年代以来的美国数据和随机均值波动率结构 VAR 模型，我们发现货币政策的不确定性降低了通胀预期和通胀。然而，在大衰退之后，这种联系消失了，即使在控制零下限时也是如此。