Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/184645
Authors: 
Hanoma, Ahmed
Nautz, Dieter
Year of Publication: 
2018
Series/Report no.: 
Diskussionsbeiträge 2018/16
Abstract: 
Long-term inflation expectations taken from the Survey of Professional Forecasters are a major source of information for monetary policy. Unfortunately, they are published only on a quarterly basis. This paper investigates the daily information content of inflation-linked swap rates for the next survey outcome. Using a mixed data sampling approach, we find that professionals account for the daily dynamics of inflation swap rates when they submit their long-term inflation expectations. We propose a daily indicator of professionals' inflation expectations that outperforms alternative indicators that ignore the high-frequency dynamics of inflation swap rates. To illustrate the usefulness of the new indicator, we provide new evidence on the (re-)anchoring of U.S. inflation expectations.
Subjects: 
Inflation Expectations Dynamics
Expectations Anchoring
MIDAS
JEL: 
E31
E52
C22
Persistent Identifier of the first edition: 
Document Type: 
Working Paper
Social Media Mentions:

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