美联储-关于通货膨胀预期期限结构的分歧（英）

Finance and Economics Discussion SeriesFederal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online)Disagreement About the Term Structure of Inflation ExpectationsHie Joo Ahn and Leland E. Farmer2024-084Please cite this paper as:Ahn,HieJoo,andLelandE.Farmer(2024).“DisagreementAbouttheTerm Structure of Inflation Expectations,”Finance and Economics Discussion Se-ries 2024-084.Washington:Board of Governors of the Federal Reserve System,https://doi.org/10.17016/FEDS.2024.084.NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment. The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or theBoard of Governors. References in publications to the Finance and Economics Discussion Series (other thanacknowledgement) should be cleared with the author(s) to protect the tentative character of these papers.Disagreement About the Term Structureof Inflation Expectations*Hie Joo Ahn†Federal Reserve BoardLeland E. Farmer ‡University of VirginiaSeptember 16, 2024AbstractWe develop a model of the individual term structure of inflation expectations across fore-casting horizons. Using the Survey of Professional Forecasters, we decompose disagreementabout inflation expectations into individuals’ long-term beliefs, private information, andpublic information. We find that in normal times, long-horizon disagreement is predom-inantly driven by individuals’ long-term beliefs, while short-horizon disagreement stemsfrom private information. During economic downturns, heterogeneous reactions to publicinformation become a key driver of disagreement at all horizons. When forecasters disagreeabout public information, monetary policy exhibits a delayed response and a price puzzleemerges, underscoring the importance of anchoring inflation expectations.JEL classification: E17, E31, E37, E52, E58, E65.Keywords: Inflation Expectations, Term Structure, Disagreement, Monetary Policy*We thank Hassan Afrouzi, Boraˇgan Aruoba, Michael Bauer, Thomas Drechsel, Roger E. A. Farmer, AndrewFigura, Jim Hamilton, Edward Herbst, Elmar Mertens, Emi Nakamura, Jeremy Rudd, Jón Steinsson, LuminitaStevens, Eric Swanson, Allan Timmermann, Fabian Winkler, and Christian Wolf for helpful comments, and TravisBerge for the support of resources.Disclaimer: The views expressed in this paper are those of the authors and do not necessarily reflect theviews and policies of the Board of Governors or the Federal Reserve System.†Federal Reserve Board of Governors, 20th Street and Constitution Avenue NW, Washington, DC 20551, U.S.A.Email: hiejoo.ahn@frb.gov‡University of Virginia, Email: lef2u@virginia.edu“Of course, an extended period of high goods and services inflation resulting from aseries of demand and supply shocks associated with the pandemic and the war couldlead to a rise in inflation expectations, which wou