A1500
Title: Modelling Euro area inflation expectations: The value of mixing sources and frequencies
Authors: Eva Ortega - Banco de Espana (Spain) [presenting]
Ricardo Gimeno - Bank of Spain (Spain)
Abstract: A daily model is proposed for obtaining inflation expectations in the euro area. It is a modified version of a standard dynamic term structure model with (i) a time-varying drift in inflation expectations and (ii) mixed frequencies to allow for various sources of information: daily inflation compensation data from euro area Inflation Linked Swaps at 15 different maturities, survey data from the ECBs quarterly Survey of Professional Forecasters, and observed monthly HICP inflation.
