["Oxford Bulletin of Economics and Statistics, EarlyView. ", "\nABSTRACT\nWe develop a behavioural model of inflation which contains an indicator that quantifies the expectations unanchoring risk over the business cycle. We estimate this model using US and Canadian inflation and output gap data. We find that during the post‐pandemic inflation surge, the macroeconomic data are compatible with non mean‐reverting expectations, which reveals an elevated, albeit transitory, risk of expectations drifting away from the target. This risk has fully subsided in Canada but has not yet entirely dissipated in the United States. We find no evidence of such risk on the downside, despite prevailing policy narratives in the 2010s decade.\n"]