欧洲央行-管理通胀预期脱钩的风险（英）

Working Paper Series Managing the risks of inflation expectation de-anchoring Kai Christoffel, Mátyás Farkas Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 3082 AbstractThis paper investigates the implications of a potential loss of credibility in the central bank’sability to bring inflation back to target in the medium-term (”de-anchoring”). We propose a monetarypolicy framework in which the central bank accounts for de-anchoring risks using a regime-switchingmodel. First, we derive the optimal monetary policy strategy, which balances the trade-off betweenthe welfare costs of a stronger response to inflation and the benefits of preserving the central bank’scredibility. Next, we apply this framework in a medium-scale regime-switching DSGE model anddevelop a method to assess de-anchoring risks in real time. Using the post-COVID inflation episodein the euro area as a case study, we find that an explicit ”looking-through” strategy would haveonly modestly increased de-anchoring risks. These findings highlight the importance of monitoringde-anchoring risks in monetary policy design.”Keywords:DSGE Estimation, Inflation De-anchoring, Regime SwitchingJEL-Codes:D83, D84,E10ECB Working Paper Series No 30821Non-technical summaryWhen inflation is near its target, central banks often allow for temporary fluctuations of inflation andadjust interest rates only gradually. This approach is common when supply shocks create a trade-offbetween stabilizing output and inflation, prompting a ”looking through” strategy. However, in times ofhigh inflation or prolonged low inflation, there is a risk that inflation expectations may stray from thecentral bank’s target—a phenomenon known as de-anchoring. In such cases, a stronger policy responseis crucial to maintain credibility.This paper proposes a framework that quantifies the risk of de-anchoring using a regime-switchingmodel. Unlike traditional, purely descriptive indicators from financial markets or surveys, our model-based measure evaluates different scenarios—including forecast baselines and policy counterfactuals—inreal-time. This tool helps policymakers understand when a gradual approach is sufficient, such as inenvironments where inflation is close to target and the stock of credibility is high, and when aggressiveaction is warranted to prevent expectations from de-anchoring, as in high inflation scenarios with limitedstock of credibility.In an empirical analysis, we analyze long-run inflation expectations according to the participants ofthe survey of professional forecasters (SPF). We show that long-run inflation expectations are heteroge-nous, time-varying, and partially driven by current inflation.We then use a simple economic model to show that a more forceful or aggressive response to infla-tion deviations from target is optimal if the central bank has