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Autoren: 
Speck, Christian
Datum: 
2017
Reihe/Nr.: 
ECB Working Paper 1998
Zusammenfassung: 
Did the decline in inflation rates from 2012 to 2015 and the low levels of market-based inflation expectations lead to de-anchored inflation dynamics in the euro area? This paper is the first time-varying event study to investigate the reaction of inflation-linked swap (ILS) rates – a market-based measure of inflation expectations – to macroeconomic surprises in the euro area. Compared to the pre-crisis period, surprises have a much stronger effect on spot ILS rates during the crisis. Medium-term forward ILS rates remain insensitive to news most of the time, which implies inflation anchoring. Only short periods of sensitivity on the part of medium-term forward ILS rates are identified at times of low inflation or recession. The sensitivity is lower over more distant forecast horizons such that medium-term sensitivity represents an inflation adjustment process and provides no evidence for a de-anchoring of inflation expectations or a loss of credibility for the Eurosystem’s policy target.
Schlagwörter: 
central banking
event study
inflation anchoring
inflation expectations
inflation-linked swaps
JEL: 
E31
E44
G12
G14
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-92-899-2720-8
Dokumentart: 
Working Paper

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