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mandate of price stability in the current low-inflation, low-interest-rate scenario. This paper contributes to the existing … anchoring of inflation expectations. I carry out my analysis based on a high-frequency identification and the estimation of a … forward guidance, i.e. forecasters revise their long-run expectations upwards. Consequently, inflation increases, which …
Persistent link: https://www.econbiz.de/10012305860
Did the decline in inflation rates from 2012 to 2015 and the low levels of market-based inflation expectations lead to … de-anchored inflation dynamics in the euro area? This paper is the first time-varying event study to investigate the … reaction of inflation-linked swap (ILS) rates - a market-based measure of inflation expectations - to macroeconomic surprises …
Persistent link: https://www.econbiz.de/10011456474
We tackle two questions in this paper: In the sovereign debt crisis, what moves the euro area inflation outlook and has … the firm anchoring of medium to long-term inflation expectations been touched? Deriving densities from a new data set on … options on the euro area harmonized index of consumer prices provides us with the full distribution of inflation expectations …
Persistent link: https://www.econbiz.de/10010415789
find a higher average forecast accuracy of models that incorporate information on inflation expectations from the ECB’s SPF … and Consensus Economics compared to their counterparts that do not. The gains in forecast accuracy from incorporating … inflation expectations are typically not large but significant in some periods. Both short- and long-term expectations provide …
Persistent link: https://www.econbiz.de/10012792526
, premium components are less reactive to inflation shocks, while real rate responses change their sign from positive to …
Persistent link: https://www.econbiz.de/10012222610
revisit claims in the literature that money growth is Granger-causal for inflation at low frequencies. Applying frequency …-specific tests in a comprehensive system setup for euro-area data we consider various theoretical predictors of inflation. A general … Granger-causal for low-frequency inflation movements, and all variables affect money growth. We therefore interpret opposite …
Persistent link: https://www.econbiz.de/10009774367
This paper investigates the trade-off between timeliness and quality in nowcasting practices. This trade-off arises when the frequency of the variable to be nowcast, such as GDP, is quarterly, while that of the underlying panel data is monthly; and the latter contains both survey and...
Persistent link: https://www.econbiz.de/10011846875
underestimate the ECB's inflation forecasting accuracy. In particular, they believe that the ECB is overly optimistic. Communication … that challenges these perceptions improves the anchoring of inflation expectations, reduces inflation uncertainty and … discourages consumption of durable goods. Treated households also report higher trust in the ECB, perceive the ECB's inflation …
Persistent link: https://www.econbiz.de/10014495652
horizon-dependent biases and lower accuracy than simple unconditional uncertainty forecasts. We examine the inflation …
Persistent link: https://www.econbiz.de/10011962843
This paper empirically investigates the role of long-term inflation expectations for the monetary transmission … mechanism. In contrast to earlier studies, we confirm that U.S. long-term inflation expectations respond significantly to a … monetary policy shock. In line with a re-anchoring channel of monetary policy, we find that long-term inflation expectations …
Persistent link: https://www.econbiz.de/10012311576