This paper analyses the stability of long‐term inflation expectations and uncertainty, based on their sensitivity to innovations to observed inflation, short‐ and medium‐term forecast news. News is defined in a subjective sense and derived from revisions to shorter‐term fixed‐target forecasts. The assessment tests for presence of non‐linear effects, including regime changes during disinflation in the USA in the 1990s and the recent financial crisis. Stability is also investigated in terms of level evolution, based on a structural non‐linear and non‐Gaussian learning model to uncover the presence of a common trend underlying the long‐term dynamics of inflation, individual expectations, and uncertainty.