Grishchenko, Olesya; Mouabbi, Sarah; Renne, Jean-Paul - 2017
We use several US and euro-area surveys of professional forecasters to estimate a dynamic factor model of inflation … and the euro area. Equipped with this model, we propose a novel measure of the anchoring of inflation expectations that … US, while mild de-anchoring occurred in the euro-area. As of our sample end, both areas appear to be equally anchored …