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Financial conditions, macroeconomic factors and (un)expected bond excess returns

Fricke, Christoph; Menkhoff, Lukas - 2014

Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel … term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part … possible determinants of bond excess returns. We find that the expected part of bond excess returns is driven by macro factors …

Persistent link: https://www.econbiz.de/10010436625

Firms' expectations and price-setting : evidence from micro data

Boneva, Lena; Cloyne, James; Weale, Martin; Wieladek, Tomasz - 2016

In many forward-looking macroeconomic models, such as the New Keynesian model, firms' expectations about the future play a key role in determining outcomes today. We examine this hypothesis using a novel panel dataset on firms actual and expected price changes collected by the Confederation of...

Persistent link: https://www.econbiz.de/10011523616

Inflation expectations, inflation target credibility and the COVID-19 pandemic : new evidence from Germany

Coleman, Winnie; Nautz, Dieter - 2021

Using the exact wording of the ECB's definition of price-stability, we started a representative online survey of German citizens in January 2019 that is designed to measure long-term inflation expectations and the credibility of the inflation target. Our results indicate that credibility has...

Persistent link: https://www.econbiz.de/10012590362

Inflation target credibility in times of high inflation

Coleman, Winnie; Nautz, Dieter - 2022

We use a representative online survey to investigate the inflation expectations of German consumers and the credibility of the ECB's inflation target during the recent high inflation period. We find that credibility has trended downwards since summer 2021, reaching an all-time low in April 2022....

Persistent link: https://www.econbiz.de/10013285915

The (ir)relevance of the nominal lower bound for real yield curve analysis

Schupp, Fabian - 2020

I propose a new term structure model for euro area real and nominal interest rates which explicitly incorporates a time-varying lower bound for nominal interest rates. Results suggest that the lower bound is of importance in structural analyses implying time-varying impulse responses of yield...

Persistent link: https://www.econbiz.de/10012222610

Do inflation expectations improve model-based inflation forecasts?

Bańbura, Marta; Leiva-León, Danilo; Menz, Jan-Oliver - 2021

Those of professional forecasters do. For a wide range of time series models for the euro area and its member states we 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...

Persistent link: https://www.econbiz.de/10012792526

The dynamic impact of macroeconomic news on long-term inflation expectations

Hachula, Michael; Nautz, Dieter - 2017

Well-anchored inflation expectations should not react to short-term oriented macroeconomic news. This paper analyzes the dynamic response of inflation expectations to macro news shocks in a structural VAR model. As identification of structural macro news shocks is controversial, we use a proxy...

Persistent link: https://www.econbiz.de/10011647611

Does experience shape subjective expectations?

Rossmann, Tobias - 2019

This paper documents that individuals' expectations about macroeconomic outcomes are systematically linked with the experiences of these macroeconomic outcomes they have made during life. Focusing on expectations about national inflation, national unemployment and national business conditions, I...

Persistent link: https://www.econbiz.de/10012064821

Expectations formation, sticky prices, and the ZLB

Bersson, Betsy; Hürtgen, Patrick; Paustian, Matthias - 2019

At the zero lower bound (ZLB), expectations about the future path of monetary or fiscal policy are crucial. We model expectations formation under level-k thinking, a form of bounded rationality introduced by García-Schmidt and Woodford (2019) and Farhi and Werning (2017), consistent with...

Persistent link: https://www.econbiz.de/10012101259

Economic uncertainty and subjective inflation expectations

Rossmann, Tobias - 2019

Measuring economic uncertainty is crucial for understanding investment decisions by individuals and firms. Macroeconomists increasingly rely on survey data on subjective expectations. An innovative approach to measure aggregate uncertainty exploits the rounding patterns in individuals' responses...

Persistent link: https://www.econbiz.de/10012034114

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