Economic surprises and inflation expectations: Has anchoring of expectations survived the crisis?

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 1671

Classification and Topics

• Classification: Wirtschaft ; Financial Markets and the Macroeconomy ; Asset Pricing; Trading Volume; Bond Interest Rates ; Financial Crises
• Subject: break-even inflation rates ; inflation expectations ; inflation markets ; macroeconomic announcements ; nominal and real bond yields

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Lejsgaard Autrup, Søren ; Grothe, Magdalena
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2014

Further information

• Handle: http://hdl.handle.net/10419/154104
• Last update: 10.03.2025, 11:41 AM CET