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- According to the figure, inflation averaged below the inflation target while the policy rate was away from ELB the all six countries. In the U.S. and Canada, inflation averaged about 20 and 30 basis point below the 2 percent target while the ELB was not binding. The conditional averages in these two countries are closer to 2 percent and the confidence band includes 2 percent when the starting date of the sample is around 2000. Thus, we cannot completely rule out the possibility that the observed undershooting of the inflation target is statistically insignificant. However, the figures for the U.S. and Canada demonstrate the overall tendency for the central banks to undershoot the long-run target by non-trivial amount in these two countries. In the Euro Area, the United Kingdom, Sweden, and Switzerland, the conditional 29 Aruoba, Cuba-Borda, and Schorfheide (2014) provide an empirical support for this view.
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FernaÃŒÂndez-Villaverde, J., G. Gordon, P. A. GuerroÃŒÂn-Quintana, and J. Rubio-RamıÌÂrez (2015): “Nonlinear Adventures at the Zero Lower Bound,†Journal of Economic Dynamics and Control, 57, 182–204.
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- The bottom-left panel of figure E.1 shows the evolution of the expected period until the liftoff based on the PD Survey. Consistent with the measures based on the Blue Chip survey, the expected duration of the additional period of the lower bound episode increase markedly in the second half of 2011. The expected duration hovers around 10 quarters during 2012, and has declined steadily since then. E.3 Survey of Professional Forecasters The Survey of Professional Forecasters (SPF) is a quarterly survey of about 40 individuals in academia, financial industries, and policy institutions, administered by the Federal Reserve Bank of Philadelphia. Like the Blue Chip Surveys, the SPF asks its participants their projections of various macroeconomic variables, including the 3-month Treasury rate. For the near-term projection that extends to the end of the next calendar year, the forecasts are available in quarterly frequency. For the longer horizon, the forecast is available in annual frequency.
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