Andrade, Philippe
[VerfasserIn]
;
Fourel, Valère
[Sonstige Person, Familie und Körperschaft];
Ghysels, Eric
[Sonstige Person, Familie und Körperschaft];
Idier, Julien
[Sonstige Person, Familie und Körperschaft]
The Financial Content of Inflation Risks in the Euro Area
Erschienen in:Banque de France Working Paper ; No. 437
Umfang:
1 Online-Ressource (35 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2302583
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 1, 2013 erstellt
Beschreibung:
Recent studies emphasize that survey-based inflation risk measures are informative about future inflation and thus useful for monetary authorities. However, these data are typically available at a quarterly frequency whereas monetary policy decisions require a more frequent monitoring of such risks. Using the ECB survey of professional forecasters, we show that high-frequency financial market data have predictive power for the low-frequency survey-based inflation risk indicators observed at the end of a quarter. We rely on MIDAS regressions to handle the problem of mixing data with different frequencies that such an analysis implies. We also illustrate that upside and downside risks react differently to financial indicators