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| Author: | Coffinet, J. Frappa, S. |
| Title: | Determinants of the inflation compensation curve in the euro area |
| Journal: | European Journal of Finance
2010 : OCT/DEC, VOL. 16:7-8, p. 769-783 |
| Index terms: | macroeconomics inflation compensation euro currency |
| Language: | eng |
| Abstract: | This study analyzes the effect of macroeconomic (henceforth as: m-e.) surprises (here as: srps.) on inflation compensation (as: cmpsn/s.) data, the sum of inflation expectation, risk and liquidity premia, in the euro area. Based on a daily data set covering a wide spectrum of maturities, stemming from inflation-indexed markets from 2 Jan. 2004 to 31 Dec. 2007, the results suggest that when gauging short- and medium-term inflation cmpsn/s., market operators are sensitive to srps. related to real activity and prices. Even so, long-term inflation cmpsn/s. remain generally unresponsive to m-e. srps., proving the European Central Bank's (ECB) high credibility on the sample in consideration. |
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