Quels sont les déterminants des anticipations d’inflation ?

Goldman Sachs a publié la semaine dernière une étude sur les déterminants des anticipations d’inflation, considérées comme un facteur particulièrement suivi par les autorités monétaires (BCE): parmi ces déterminants, le cours des matières premières (pétrole) et l’inflation observée sont des éléments déterminants.

[cleeng_content id= »671645524″ description= »Plus d\’analyses et de commentaires à découvrir…  » price= »0.19″ t= »article » referral= »0.05″]L’étude d’Antoine Demongeot et Matthieu Droumaguet tire plusieurs conclusions intéressantes:

  • la volatilité des anticipations d’inflation est plus élevée à court terme qu’à moyen long terme (les agents estiment que la BCE est plus à même de maîtriser l’inflation sur le long terme);
  • le cours du pétrole et l’inflation observée sont les déterminants les plus importants des anticipations d’inflation;
  • l’action de la BCE est un facteur également important;
Source: Goldman Sachs

Source: Goldman Sachs

La note envoie également quelques fleurs à l’institution monétaire centrale, dirigée par Mario Draghi (rappelons qu’il est un ancien de Goldman Sachs):

« We provide evidence here supporting the credibility of the ECB, which has succeeded in anchoring medium- to long-term inflation expectations at levels broadly in line with its definition of price stability. »

Les économistes de la banque américaine montrent notamment quels sont les déterminants les plus importants sur différents horizons de temps (tableau):

Source: Goldman Sachs

Source: Goldman Sachs

« Taking stock of our results overall, we find that the  relevant determinants of inflation expectations are:

  • Price variables: the HICP, PPI indexes and commodity prices.
  • The Euro area industrial confidence indicator.
  • EONIA – the market overnight interest rate.
  • The US consumer price level: transatlantic spillovers to the European market.

By the same token, we can also list the time series that do not cause inflation expectations in the sense defined above:

  • Money aggregates, the ECB’s MRO rate and lending series.
  • EA composite PMI, exchange rates, industrial production, term spreads, Euro stock indexes, or US data from the real economy.

While it is interesting to rank variables according to their relevance, looking at the table at different horizons also provides instructive results:

  • Short-term inflation expectations: It is striking how wage indices and financial variables (Euro Stoxx 50, US VIX) are more influential for inflation expectations at shorter horizons rather than longer horizons. This suggests a noisier short-term inflation swap market or a more event-driven formation of inflation expectations at the short horizon. Monetary policy can do little to offset these shocks, owing to the lags in monetary policy transmission.
  • Medium- to long-horizon inflation expectations: For the M1 aggregate, the ECB’s MRO rate, the EONIA and the Euro area consumer confidence index, higher probabilities of causality for longer swap maturities are reported. Monetary authorities play a bigger role in shaping inflation expectations over longer time horizons, since they play a role in containing inflationary shocks so as to stabilise the price level over the medium term. »

Cerise sur le gateau, la démonstration statistique de l’efficacité de la politique monétaire de la BCE sur longue période:

  • « At the 3-month horizon, a change in the EONIA rate has a very muted effect on the proxy for inflation expectations. This result is intuitive and is a result of the lagged effect of monetary policy on inflation. Therefore, inflation expectations do not react to monetary policy in the very short run.
  • At the 1-year horizon, financial instruments are most sensitive to changes in the monetary policy stance. The 1-year spot rate permanently decreases by -0.4% following the 0.25% EONIA increase. This result indicates that the policy transmission mechanism, after taking time to set in, becomes effective even in the relatively short run.
  • At the 5-year horizon, the EONIA no longer has an effect on inflation expectations. Steering the real economy around its trend growth, the ECB successfully stabilises inflation around its target over the medium- to long-term.

This is an encouraging result, and supports the credibility of the ECB’s monetary policy. »

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