scholarly journals Anchoring of Inflation Expectations in the Euro Area: Recent Evidence Based on Survey Data

2016 ◽  
Author(s):  
Tomasz Lyziak ◽  
Maritta Paloviita
Keyword(s):  
Survey Data ◽  
Euro Area ◽  
Inflation Expectations ◽  
Evidence Based

Anchoring of Consumers’ Long-Term Euro Area Inflation Expectations During the Pandemic

2021 ◽  
Author(s):  
Gabriele Galati ◽  
Richhild Moessner ◽  
Maarten <!>van Rooij
Keyword(s):  
Euro Area ◽  
Inflation Expectations

scholarly journals The Formation of Expectations, Inflation, and the Phillips Curve

2018 ◽  
Vol 56 (4) ◽  
pp. 1447-1491 ◽  
Author(s):  
Olivier Coibion ◽  
Yuriy Gorodnichenko ◽  
Rupal Kamdar
Keyword(s):  
Survey Data ◽  
Rational Expectations ◽  
Phillips Curve ◽  
Rational Expectation ◽  
New Keynesian ◽  
Inflation Expectations ◽  
Full Information ◽  
Macroeconomic Modeling ◽  
Expectations Formation

This paper argues for a careful (re)consideration of the expectations formation process and a more systematic inclusion of real-time expectations through survey data in macroeconomic analyses. While the rational expectations revolution has allowed for great leaps in macroeconomic modeling, the surveyed empirical microevidence appears increasingly at odds with the full-information rational expectation assumption. We explore models of expectation formation that can potentially explain why and how survey data deviate from full-information rational expectations. Using the New Keynesian Phillips curve as an extensive case study, we demonstrate how incorporating survey data on inflation expectations can address a number of otherwise puzzling shortcomings that arise under the assumption of full-information rational expectations. (JEL D04, E24, E27, E31, E37)

scholarly journals Euro Area Inflation Expectations

2018 ◽  
Author(s):  
Ricardo Gimeno ◽  
Eva Ortega
Keyword(s):  
Euro Area ◽  
Inflation Expectations

scholarly journals The effect of Eurosystem asset purchase programmes on euro area sovereign bond yields during the COVID-19 pandemic

2021 ◽  
Author(s):  
George Hondroyiannis ◽  
Dimitrios Papaoikonomou
Keyword(s):  
Euro Area ◽  
Credit Ratings ◽  
Evidence Based ◽  
Time Varying ◽  
Safe Haven ◽  
Sharp Decline ◽  
Bond Yields ◽  
Perceptions Of Risk ◽  
Sovereign Bond ◽  
Sovereign Bonds

We investigate the effect of Eurosystem Asset Purchase Programmes (APP) on the monthly yields of 10-year sovereign bonds for 11 euro area sovereigns during January-December 2020. The analysis is based on time-varying coefficient methods applied to monthly panel data covering the period 2004m09 to 2020m12. During 2020 APP contributed to an average decline in yields estimated in the range of 58-76 bps. In December 2020 the effect per EUR trillion ranged between 34 bps in Germany and 159 bps in Greece. Stronger effects generally display diminishing returns. Our findings suggest that a sharp decline in the size of the APP in the aftermath of the COVID-19 crisis could lead to very sharp increases in bond yields, particularly in peripheral countries. The analysis additionally reveals a differential response to global risks between core and peripheral countries, with the former enjoying safe-haven benefits. Markets’ perceptions of risk are found to be significantly affected by credit ratings, which is in line with recent evidence based on constant parameter methods.

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