Expected Inflation and Inflation Risk Premium in the Euro Area and in the United States

2012 ◽  
Author(s):  
Marcello Pericoli
Keyword(s):  
United States ◽  
Euro Area ◽  
Risk Premium ◽  
The United States ◽  
Inflation Risk ◽  
Expected Inflation ◽  
Inflation Risk Premium

scholarly journals Are Long-Run Inflation Expectations Anchored More Firmly in the Euro Area than in the United States?

2011 ◽  
Vol 3 (2) ◽  
pp. 104-129 ◽  
Author(s):  
Meredith J Beechey ◽  
Benjamin K Johannsen ◽  
Andrew T Levin
Keyword(s):  
United States ◽  
Financial Markets ◽  
Euro Area ◽  
The United States ◽  
Inflation Expectations ◽  
Inflation Risk ◽  
Expected Inflation ◽  
Long Run ◽  
Daily Data ◽  
Bond Spreads

This paper compares the evolution of long-run inflation expectations in the euro area and the United States, using evidence from financial markets and surveys of professional forecasters. Survey data indicate that long-run inflation expectations are reasonably well anchored in both economies but reveal substantially greater dispersion across forecasters' long-horizon projections of US inflation. Analysis of daily data on inflation swaps and nominal-indexed bond spreads, which gauge compensation for expected inflation and inflation risk, also suggests that long-run inflation expectations are more firmly anchored in the euro area than in the United States. (JEL D84, E31, E37, E52, E58)

scholarly journals A New Approach to Gauging Inflation Expectations

2009 ◽  
pp. 1-4
Author(s):  
Joseph G. Haubrich
Keyword(s):  
Interest Rates ◽  
Risk Premium ◽  
New Method ◽  
Inflation Expectations ◽  
Real Interest Rates ◽  
Inflation Risk ◽  
New Approach ◽  
Expected Inflation ◽  
Inflation Risk Premium

This Economic Commentary explains a relatively new method of uncovering inflation expectations, real interest rates, and an inflation-risk premium. It provides estimates of expected inflation from one month to 30 years, an estimate of the inflation-risk premium, and a measure of real interest rates, particularly a short (one-month) rate, which is not readily available from the TIPS market. Calculations using the method suggest that longer-term inflation expectations remain near historic lows. Furthermore, the inflation-risk premium is also low, which in the model means that inflation is not expected to deviate far from expectations.

Multivariate Filter Estimation of Potential Output for the Euro Area and the United States

2015 ◽  
Author(s):  
Ali Alichi ◽  
Olivier Bizimana ◽  
Silvia Domit ◽  
Emilio Fernandez-Corugedo ◽  
Douglas Laxton ◽  
...  
Keyword(s):  
United States ◽  
Euro Area ◽  
The United States ◽  
Potential Output
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