The consensus among central bankers is that higher inflation expectations can drive up inflation today, requiring tighter policy.We assess this by devising a novel method for identifying shocks to inflation expectations,estimating a semi-structural VAR where an expectation shock is identified as that which causes measured expectations to diverge from rationality.Using data for the United States, we find that a positive inflation expectations shock is deflationary and contractionary:inflation,output,and interest rates all fall. These results are inconsistent with the standard New Keynesian model,which predicts inflation and interest rate hikes. We discuss possible resolutions to this new puzzle.