Abstract
Given the pivotal role of inflation expectations in contemporary monetary policy, we posit that if monetary policy has effectively influenced inflation expectations, thereby altering the trajectory of total inflation, a structural break in the path of total inflation should be observable. Conversely, if inflation expectations have remained stable and monetary policy has had limited impact, a stable vector autoregressive (VAR) model should adequately describe the path of total inflation. To address these hypotheses, a non-linear specification of a threshold vector autoregressive (TVAR) model is employed, offering a comprehensive analytical framework for the examination of these dynamics.
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