Showing 1 - 10 of 87
Using daily data stemming from inflation-indexed markets, we analyse the effects of numerous macroeconomic surprises on inflation compensation data - the sum of inflation expectations, risk and liquidity premia - in the euro area between 2 January 2004 and 31 December 2007. Our results suggest...
Persistent link: https://www.econbiz.de/10013138025
We provide evidence that households discretize their inflation expectations so that what matters for durable consumption decisions is the broad inflation regime they expect. Using survey data, we document that a large share of the adjustment in the average inflation expectation comes from the...
Persistent link: https://www.econbiz.de/10012829776
We use several U.S. and euro-area surveys of professional forecasters to estimate a dynamic factor model of inflation with time-varying uncertainty. We obtain survey-consistent distributions of future inflation at any horizon, both in the United States and in the euro area. Our methodology...
Persistent link: https://www.econbiz.de/10012958726
Recent studies emphasize that survey-based inflation risk measures are informative about future inflation and thus useful for monetary authorities. However, these data are typically available at a quarterly frequency whereas monetary policy decisions require a more frequent monitoring of such...
Persistent link: https://www.econbiz.de/10013078515
Theory and evidence suggest that in an environment of well-anchored expectations, temporary economic news or shocks should not affect agents' expectations of inflation in the long term. Our estimated structural VARs show that both long- and short-term inflation expectations are sensitive to...
Persistent link: https://www.econbiz.de/10013045550
This paper proposes new bridge equations for the Monthly Index of Business Activity (MIBA) published by the Banque de France. The MIBA is a forecasting tool for the quarterly GDP growth in France both for the current quarter and the next quarter, originally based on the surveys in the industrial...
Persistent link: https://www.econbiz.de/10013136875
We use the ECB Survey of Professional Forecasters to characterize the dynamics of expectations at the micro level. We find that forecasters (i) have predictable forecast errors; (ii) disagree; (iii) fail to systematically update their forecasts in the wake of new information; (iv) disagree even...
Persistent link: https://www.econbiz.de/10013134964
Using a new survey of firms’ inflation expectations in France, we provide novel evidence about the measurement and formation of inflation expectations on the part of firms. First, French firms report inflation expectations with a smaller, but still positive, bias than households and display...
Persistent link: https://www.econbiz.de/10013323404
Inflation target formulations differ across countries and over time. Most widespread are point targets, target ranges, hybrid combinations of the two, or mere definitions of price stability. This paper proposes a novel empirical measure of expectations anchoring based on the cross-sectional...
Persistent link: https://www.econbiz.de/10014262534
Euro area countries as a whole have experienced a marked downward trend over the 1980s. Over this period, the unemployment rate has increased and economic activity has been sluggish. Changes in the implicit inflation target, viewed as low frequency movements of inflation, might possibly explain...
Persistent link: https://www.econbiz.de/10014193922