Inflation News and Euro Area Inflation Expectations

July 19, 2018

Preview Citation

Format: Chicago

Juan Angel Garcia, and Sebastian Werner. Inflation News and Euro Area Inflation Expectations, (USA: International Monetary Fund, 2018) accessed November 13, 2024

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary

Do euro area inflation expectations remain well-anchored? This paper finds that the protracted period of low (and below-target) inflation in the euro area since 2013 has weakened their anchoring. Testing their sensitivity to inflation and macroeconomic news, this paper expands existing results in two key dimensions. First, by analyzing all available (advanced) inflation releases. Second, the reactions of expectations are investigated at daily, time-varying and intraday frequency regressions to add robustness to our conclusions. Results point to a significant impact of inflation news over recent years that had not been observed before in the euro area.

Subject: Financial crises, Global financial crisis of 2008-2009, Inflation, National accounts, Prices, Return on investment

Keywords: Flash estimate, Global, Global financial crisis of 2008-2009, Inflation, Inflation compensation, Inflation expectation, Inflation market, Inflation news, Inflation rate, Macroeconomic news, Market-based inflation expectations, Monetary policy, Return on investment, Swap market, Swap rate, WP

Publication Details

Pages:

59
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2018/167
Stock No:

WPIEA2018167
ISBN:

9781484363010
ISSN:

1018-5941

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