This paper extends the discussion of international comovements of actual inflation rates to inflation expectations. Financial market expectations about inflation rates in the United States (US) and Euro Area (EA) are modeled in a structural vector autoregression (SVAR). We demonstrate how the...

The recent financial crisis has deeply affected money markets. We analyze the effectiveness of monetary policy in the euro area with respect to (i) how much monetary policy expectations are reflected in money market rates, (ii) how much money market rates were disturbed by liquidity and credit...