This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and … inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly …

This article analyses agents’ perception of the period of low inflation in recent years, in the context of a model in … to be drawn between which portion of the low inflation phenomenon might be due to temporary factors and which might be … considered permanent. The results of the analysis for the euro area suggest that agents perceive the inflation rate’s recent …

We use several US and euro-area surveys of professional forecasters to estimate a dynamic factor model of inflation … featuring time-varying uncertainty. We obtain survey-consistent distributions of future inflation at any horizon, both in the US … and the euro area. Equipped with this model, we propose a novel measure of the anchoring of inflation expectations that …

This paper explores the behaviour of inflation expectations across countries that share their monetary policy, in … liquidity risk component, is proposed and estimated using daily data from inflation swaps for Spain, Italy, France, Germany and …-specific components in the term structure of inflation expectations. We find sizable differences in inflation expectations across the main …

We use several U.S. and euro-area surveys of professional forecasters to estimate a dynamic factor model of inflation … with time-varying uncertainty. We obtain survey-consistent distributions of future inflation at any horizon, both in the … inflation expectations, inflation uncertainty, inflation expectations anchoring, deflation probabilities and U.S. and euro …

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

We analyse the degree of anchoring of inflation expectations in the euro area. Using a new estimation technique, we … look at the tail co-movement between the moments of short- and long-term distributions of inflation expectations, where … those distributions are estimated from daily quotes of inflation derivatives. We find that, since mid-2014, negative tail …

This paper provides new survey evidence on firms' inflation expectations in the euro area. Building on the ECB's Survey … on the Access to Finance of Enterprises (SAFE), we introduce consistent measurement of inflation expectations across … firms' inflation expectations and show that firms disagree about future inflation more than professional forecasters but …