English, Article, Journal or magazine article edition: Macroeconomic Surprises and the Inflation Compensation Curve in the Euro Area. Coffinet, J.; Frappa, S.

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Bookmark: http://trove.nla.gov.au/version/147983
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Macroeconomic Surprises and the Inflation Compensation Curve in the Euro Area.
Author
  • Coffinet, J.
  • Frappa, S.
Physical Description
  • preprint
Notes
  • Using daily data stemming from inflation-indexed markets, we analyse the effects of numerous macroeconomic surprises on inflation compensation data - the sum of inflation expectations, risk and liquidity premia - in the euro area between 2 January 2004 and 31 December 2007. Our results suggest that when gauging short and medium-term inflation compensations, market operators are sensitive to surprises related to real activity and prices. Interestingly, oil futures prices tend to impact at some point on the short- and medium-ends of the inflation compensation curve. Notwithstanding, long-term inflation compensations remain generally unresponsive to macroeconomic surprises, attesting the high ECB's credibility.
  • Inflation Compensation ; Macroeconomic Surprise, Eurosystem
  • RePEc:bfr:banfra:220
Language
  • English
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