Title: The information content of inflation swap rates for the long-term inflation expectations of professionals
Authors: Ahmed Hanoma - Free University Berlin (Germany) [presenting]
Dieter Nautz - Freie Universitaet Berlin (Germany)
Abstract: 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. The daily information content of inflation-linked swap rates for the next survey outcome is investigated. 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.