Abstract in English:

Inflation expectations play a crucial role for monetary policy transmission, having become even more important since the emergence of unconventional monetary policy. Based on survey data provided by Consensus Economics, we assess determinants of professional inflation expectations for the G7 economies, emphasising the role of international spillovers arising from the United States in inflation expectations. We also consider several other determinants of inflation expectation updates such as changes in the path of monetary policy, oil price shocks and changes in uncertainty measures. Based on a Bayesian VAR, we find significant evidence of international spillovers stemming from expectations about US monetary policy based on impulse-response functions and forecast error decompositions. We provide similar evidence on spillovers from the dispersion across inflation forecasts, too.