How Stable are Inflation Expectations in the Euro Area? Evidence from the Euro-Area Financial Markets

Olesya Grishchenko, Franck Moraux () and Olga Pakulyak ()

No 2025-041, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: We analyze evolution of inflation expectations in the euro area (EA) using a novel measure of inflation expectations implied by the French nominal and inflation-indexed bonds. Overall, we find that EA inflation expectations have been relatively well anchored in the 2004 -- 2019 sample but have been somewhat sensitive to the incoming macroeconomic news and monetary policy shocks in the sample that includes the COVID-19 pandemic. Our results are robust with respect to the use of different inflation-indexed securities data, such as the EA inflation-linked swaps.

Keywords: Obligations Assimilables du Trésor; OAT; French inflation-indexed bonds; Nominal- indexed bond spreads; Inflation swaps; Inflation expectations; Macroeconomic news; Monetary policy shocks; Euro area; Inflation anchoring; Stability (search for similar items in EconPapers)
JEL-codes: D84 E31 E37 E52 E58 (search for similar items in EconPapers)
Pages: 49 p.
Date: 2025-06-02
New Economics Papers: this item is included in nep-eec and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2025-41

DOI: 10.17016/FEDS.2025.041

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