We quantify spillovers of inflation expectations between the United States (US) and Euro Area (EA) based on break …-even inflation (BEI) rates. In contrast to previous studies, we model US and EA BEI rates jointly in a structural vector … autoregressive (SVAR) model. The SVAR approach allows to identify US and EA specific inflation expectations shocks. By modeling the …

distributions of output and inflation. Since the variance and the asymmetry of the forecast distributions are largely driven by the …

policy shock is ambiguous in both the short- and long-run, and depends on the nature of the mispricing. Subsequently, we … contractionary monetary policy shock in fact lowers stock prices beyond what is implied by the response of their underlying …

To what extent are US and Euro Area (EA) inflation expectations determined by foreign shocks? How do transmissions … VAR model of weekly financial markets’ inflation expectations and an index of commodity futures. For the identification of … nature and origin of identified shocks. In line with the discussion about global inflation, we find that inflation …