We compare the degree of anchoring of inflation expectations in the euro area, the United States and the United Kingdom …, focusing on the post-crisis period. First of all, we estimate a set of measures of average and tail correlation using inflation …

. Using a new estimation technique, we look at tail co-movements between short- and long-term distributions of inflation …We analyze the degree of anchoring of inflation expectations in the euro area during the post-crisis period, with a … expectations, estimated from daily quotes of inflation derivatives. We find that, during 2014, average correlations between short …

. Using a new estimation technique, we look at tail co-movements between short- and long-term distributions of inflation …We analyze the degree of anchoring of inflation expectations in the euro area during the post-crisis period, with a … expectations, estimated from daily quotes of inflation derivatives. We find that, during 2014, average correlations between short …

patterns in economic activity and inflation following oil price shocks in the euro area. In the normal regime, oil price shocks … followed by sizeable and sustained macroeconomic fluctuations, with inflation and economic activity moving in the same … direction as the oil price. The responses of inflation expectations and wage growth point to second-round effects as a potential …

We document that inflation risk in the U.S. varies significantly over time and is often asymmetric. To analyze the … direction of inflation risks. We perform counterfactual analyses using a quantitative general equilibrium model to evaluate the … implications of incorporating real-time estimates of the balance of inflation risks into monetary policy communications and …

This paper analyses the distribution of long-term inflation expectations in the euro area using individual density …

In this paper we construct model-free and model-based indicators for the inflation risk premium in the US and the euro … area. We study the impact of market liquidity, surprises from inflation data releases, inflation volatility and deflation … fears on the inflation risk premium. For our analysis, we construct a special dataset with a broad range of indicators. The …

We build a novel term structure model for pricing synthetic euro area core inflation-linked swaps, a hypothetical swap … contract indexed to core inflation. Our approach relies on a term structure model of traded headline inflation-linked swap … rates, which we assume span core inflation. The model provides estimates of market-based expectations for core inflation, as …