<p>This paper studies the impacts of monetary policy surprises on the inflation expectations of consumers in the Euro Area and its three largest member countries: Germany, France, and Italy. The analysis employs Bayesian VAR models over the time series from January 1999 to December 2021. Policy shocks are distinguished between conventional policy, forward guidance, and quantitative easing identified by means of high-frequency external instruments. The findings indicate the success of the ECB in steering consumer inflation expectations over the medium term: expansionary policies associated with policy rates and quantitative easing raise 12-month-ahead inflation expectations of consumers. Counterfactual analysis suggests that the effects are indirect via the channel of consumer prices. Furthermore, the results also highlight the presence of Delphic guidance: a forward guidance on a decrease in future policy rate puts downward revisions on consumer inflation expectations.</p>