, premium components are less reactive to a typical 10 bp increase in inflation, while real rate responses change their sign …

Did the decline in inflation rates from 2012 to 2015 and the low levels of market-based inflation expectations lead to … de-anchored inflation dynamics in the euro area? This paper is the first time-varying event study to investigate the … reaction of inflation-linked swap (ILS) rates - a market-based measure of inflation expectations - to macroeconomic surprises …

We analyze the degree of anchoring of inflation expectations in the euro area during the post-crisis period, with a …. Using 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 study euro-area risk-adjusted expected inflation and the inflation risk premium at different maturities, leveraging … inflation swaps, inflation options and survey-based forecasts. We introduce a model that features time-varying long-term average … inflation and time-varying inflation volatility and we anchor market-based risk-adjusted measures of expected inflation to …

Inflation expectation is acknowledged to be an important indicator for policy makers and financial investors. To … capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage …-free model across different countries in a multi-maturity term structure, where we first estimate inflation expectation by …

inflation expectations and risk premia. This entails jointly pricing and decomposing nominal and real UK yields. We find … evidence that medium- and long-term inflation expectations are contained within narrower bounds since the early 1990s …, suggesting monetary policy credibility improved after the introduction of inflation targeting. …

inflation in the euro area. In the United States forward inflation risk premia become sizable around the start of the late-2000s … March 2009. In contrast, in the euro area forward inflation risk premia are unchanged even after the adoption of the … unconventional monetary policy measures, in October 2008 and in May 2010. In both areas expected long-term inflation expectations …