Survey-based daily estimates of inflation expectations and risk premia in the euro area

Francesca Lilla () and Gabriele Zinna ()
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Francesca Lilla: Bank of Italy
Gabriele Zinna: Bank of Italy

No 991, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: In this research note, we develop real-time, daily estimates of survey-based inflation expectations and inflation risk premia for the euro area using a simple, nearly model-free approach. We first estimate daily inflation expectations by projecting low-frequency survey measures onto a small set of daily financial variables. We then compute daily inflation risk premia as the difference between inflation-linked swap (ILS) forward rates and the estimated survey-based expectations. The resulting daily estimates provide timely insights for conjunctural analysis and monetary policy, offering a useful complement to measures derived from dynamic term structure models.

Keywords: inflation expectations; inflation risk premia; monetary policy (search for similar items in EconPapers)
JEL-codes: F31 G12 G15 (search for similar items in EconPapers)
Date: 2025-12
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_991_25

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