インフレ期待は金融政策に反応するのか？英国を対象とした実証実験

2025年1月公表のBOEワーキングペーパー。原題：Do inflation expectations respond to monetary policy? An empirical analysis for the United Kingdom著者：Natalie Burr以下はその要旨。This paper studies how monetary policy impacts inflation expectations in the United Kingdom. Using higher moments of the distribution of inflation expectations, I construct a summary measure of expectations for households, firms, professional forecasters and financial markets. In a Bayesian VAR identified using a high frequency-identified monetary policy shock series, I find that a monetary policy tightening causes significant variation in the respo

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