The information content of inflation swap rates for the long-term inflation expectations of professionals: evidence from a MIDAS analysis

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 sur...

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Hauptverfasser: Hanoma, Ahmed Ragab Elsaid Abdelhamid (VerfasserIn), Nautz, Dieter (VerfasserIn)
Format: Elektronisch E-Book
Sprache:English
Veröffentlicht: Berlin Freie Universität Berlin October 5, 2018
Schriftenreihe:Discussion paper / Freie Universität Berlin, School of Business & Economics Economics 2018, 16
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Zusammenfassung: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
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