Inflation Risk Premium and the Term Structure of Macroeconomic Announcements in the Euro Area and in the United States

2012 ◽  
Author(s):  
Marcello Pericoli
Keyword(s):  
United States ◽  
Term Structure ◽  
Euro Area ◽  
Risk Premium ◽  
The United States ◽  
Inflation Risk ◽  
Macroeconomic Announcements ◽  
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)

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