Three dimensions of central bank credibility and inferential expectations: The Euro zone

We use the behavior of inflation among Eurozone countries to provide information about the degree of credibility of the European Central Bank (ECB) since 2008. We define credibility along three dimensions–official target credibility, cohesion credibility and anchoring credibility–and show in a new econometric framework that the latter has deteriorated in recent history; that is, price setters are less likely to rely on the ECB target when forming inflation expectations