Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154104
Authors: 
Lejsgaard Autrup, Søren
Grothe, Magdalena
Year of Publication: 
2014
Series/Report no.: 
ECB Working Paper 1671
Abstract: 
This paper analyses price formation in medium- to longer-term maturity segments of euro area and US inflation-linked and nominal bond markets around the releases of important economic indicators. We compare the pre-crisis and crisis periods, controlling for liquidity effects observed in financial markets. The results allow us to draw conclusions about the anchoring of inflation expectations in the two currency areas before and during the crisis. We find a somewhat stronger anchoring of inflation expectations in the euro area than in the United States. During the crisis, the degree of anchoring of inflation expectations did not change in the euro area, but it decreased to some extent in the United States.
Subjects: 
break-even inflation rates
inflation expectations
inflation markets
macroeconomic announcements
nominal and real bond yields
JEL: 
E44
G12
G01
Document Type: 
Working Paper

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