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La hausse de l’inflation peut-elle modifier l’ancrage des anticipations ?

Author

Listed:
  • Christophe Blot

    (OFCE - Observatoire français des conjonctures économiques (Sciences Po) - Sciences Po - Sciences Po)

Abstract

Le processus de décision des agents économiques repose en partie sur leurs anticipations d'inflation. Avec la hausse récente de l'inflation se pose la question de leur évolution récente et d'un éventuel désancrage de ces anticipations relativement à la cible des banques centrales. Dans cet article, nous estimons l'ancrage du niveau des anticipations pour la zone euro et les États-Unis en testant la réaction des anticipations à différents horizons aux évolutions de l'inflation courante. Notre analyse tient également compte de non-linéarités potentielles. Les résultats suggèrent que les anticipations-de long terme-sont légèrement mieux ancrées dans la zone euro qu'aux États-Unis. Dans un deuxième temps, nous évaluons le rôle de ces mêmes indicateurs d'anticipation d'inflation sur la dynamique de l'inflation via l'estimation d'une courbe de Phillips hybride. L'analyse indique que la dynamique de l'inflation passée joue un rôle plus important que les anticipations d'inflation pour expliquer l'inflation courante. Dans ces conditions, le risque d'un cercle vicieux où les anticipations d'inflation augmentent avec l'inflation courante et alimentent en retour la hausse de l'inflation est limité. En effet, même s'il est significatif, l'impact d'un point de hausse de l'inflation sur les anticipations est modéré, en particulier à long terme. Ensuite, l'augmentation des anticipations ne contribue en retour que de façon limitée à la hausse de l'inflation.

Suggested Citation

  • Christophe Blot, 2022. "La hausse de l’inflation peut-elle modifier l’ancrage des anticipations ?," SciencePo Working papers Main hal-03794336, HAL.
    • Handle: RePEc:hal:spmain:hal-03794336
    DOI: 10.3917/reof.177.0075
    Note: View the original document on HAL open archive server: https://hal-sciencespo.archives-ouvertes.fr/hal-03794336
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    References listed on IDEAS

    as
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