The information content of inflation swap rates for the long-term inflation expectations of professionals: evidence from a MIDAS analysis
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| Main Authors: | , |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Berlin
Freie Universität Berlin
October 5, 2018
|
| Series: | Discussion paper / Freie Universität Berlin, School of Business & Economics Economics
2018, 16 |
| Subjects: | |
| Links: | https://refubium.fu-berlin.de/handle/fub188/23174 |
| 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. This paper investigates the daily information content of inflation-linked swap rates for the next survey outcome. 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 |
| Physical Description: | 1 Online-Ressource (25 Seiten) Diagramme |
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| indexdate | 2024-12-20T18:22:44Z |
| institution | BVB |
| language | English |
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| spelling | Hanoma, Ahmed Ragab Elsaid Abdelhamid (DE-588)1191111652 aut The information content of inflation swap rates for the long-term inflation expectations of professionals evidence from a MIDAS analysis Ahmed Hanoma and Dieter Nautz (Freie Universität Berlin, Department of Economics) Berlin Freie Universität Berlin October 5, 2018 1 Online-Ressource (25 Seiten) Diagramme txt rdacontent c rdamedia cr rdacarrier Discussion paper / Freie Universität Berlin, School of Business & Economics 2018, 16 Economics 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. This paper investigates the daily information content of inflation-linked swap rates for the next survey outcome. 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 Geldpolitik (DE-588)4019902-2 gnd rswk-swf Strategische Planung (DE-588)4309237-8 gnd rswk-swf Inflation (DE-588)4026887-1 gnd rswk-swf Inflation Expectations Dynamics Expectations Anchoring MIDAS Inflation (DE-588)4026887-1 s Strategische Planung (DE-588)4309237-8 s Geldpolitik (DE-588)4019902-2 s DE-188 Nautz, Dieter (DE-588)132839539 aut Freie Universität Berlin, School of Business & Economics Discussion paper 2018, 16 : Economics (DE-604)BV026641400 2018,16 https://refubium.fu-berlin.de/handle/fub188/23174 Resolving-System kostenfrei Volltext |
| spellingShingle | Hanoma, Ahmed Ragab Elsaid Abdelhamid Nautz, Dieter The information content of inflation swap rates for the long-term inflation expectations of professionals evidence from a MIDAS analysis Geldpolitik (DE-588)4019902-2 gnd Strategische Planung (DE-588)4309237-8 gnd Inflation (DE-588)4026887-1 gnd |
| subject_GND | (DE-588)4019902-2 (DE-588)4309237-8 (DE-588)4026887-1 |
| title | The information content of inflation swap rates for the long-term inflation expectations of professionals evidence from a MIDAS analysis |
| title_auth | The information content of inflation swap rates for the long-term inflation expectations of professionals evidence from a MIDAS analysis |
| title_exact_search | The information content of inflation swap rates for the long-term inflation expectations of professionals evidence from a MIDAS analysis |
| title_full | The information content of inflation swap rates for the long-term inflation expectations of professionals evidence from a MIDAS analysis Ahmed Hanoma and Dieter Nautz (Freie Universität Berlin, Department of Economics) |
| title_fullStr | The information content of inflation swap rates for the long-term inflation expectations of professionals evidence from a MIDAS analysis Ahmed Hanoma and Dieter Nautz (Freie Universität Berlin, Department of Economics) |
| title_full_unstemmed | The information content of inflation swap rates for the long-term inflation expectations of professionals evidence from a MIDAS analysis Ahmed Hanoma and Dieter Nautz (Freie Universität Berlin, Department of Economics) |
| title_short | The information content of inflation swap rates for the long-term inflation expectations of professionals |
| title_sort | the information content of inflation swap rates for the long term inflation expectations of professionals evidence from a midas analysis |
| title_sub | evidence from a MIDAS analysis |
| topic | Geldpolitik (DE-588)4019902-2 gnd Strategische Planung (DE-588)4309237-8 gnd Inflation (DE-588)4026887-1 gnd |
| topic_facet | Geldpolitik Strategische Planung Inflation |
| url | https://refubium.fu-berlin.de/handle/fub188/23174 |
| volume_link | (DE-604)BV026641400 |
| work_keys_str_mv | AT hanomaahmedragabelsaidabdelhamid theinformationcontentofinflationswapratesforthelongterminflationexpectationsofprofessionalsevidencefromamidasanalysis AT nautzdieter theinformationcontentofinflationswapratesforthelongterminflationexpectationsofprofessionalsevidencefromamidasanalysis |