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Tail risk dynamics of market-based inflation expectations in the Euro Area
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Orientador(es)
Resumo(s)
In this study, we investigate the drivers of tail risk of inflation-linked swap rates across
multiple horizons in the euro area. Using high-frequency daily data, we model the tails of
the distributions to a Pareto distribution and estimate a tail index regression via OLS. We find
evidence that, after the global financial crisis, the probability of sharp revisions in long-term
inflation expectations were linked to fluctuations in the short-term outlook on inflation, in
both tails of the distribution. Our results suggest that during this period, long-term inflation
expectations displayed signs of de-anchoring.
Descrição
Palavras-chave
Tail risk High-frequency Term structure of inflation expectations