Replication data for: Are Long-Run Inflation Expectations Anchored More Firmly in the Euro Area Than in the United States?
Principal Investigator(s): View help for Principal Investigator(s) Meredith J. Beechey; Benjamin K. Johannsen; Andrew T. Levin
Version: View help for Version V1
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AEJMacro_2007-0059_additional_material | 10/25/2021 01:50:PM | ||
LICENSE.txt | text/plain | 14.6 KB | 10/12/2019 05:07:PM |
Project Citation:
Beechey, Meredith J., Johannsen, Benjamin K., and Levin, Andrew T. Replication data for: Are Long-Run Inflation Expectations Anchored More Firmly in the Euro Area Than in the United States? Nashville, TN: American Economic Association [publisher], 2011. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114195V1
Project Description
Summary:
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This paper compares the evolution of long-run inflation expectations in the euro area and the United States, using evidence from financial markets and surveys of professional forecasters. Survey data indicate that long-run inflation expectations are reasonably well anchored in both economies but reveal substantially greater dispersion across forecasters' long-horizon projections of US inflation. Analysis of
daily data on inflation swaps and nominal-indexed bond spreads, which gauge compensation for expected inflation and inflation risk, also suggests that long-run inflation expectations are more firmly anchored in the euro area than in the United States. (JEL D84, E31, E37, E52, E58)
Scope of Project
Subject Terms:
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Inflation expectations;
monetary policy
JEL Classification:
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D84 Expectations; Speculations
E31 Price Level; Inflation; Deflation
E37 Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
E52 Monetary Policy
E58 Central Banks and Their Policies
D84 Expectations; Speculations
E31 Price Level; Inflation; Deflation
E37 Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
E52 Monetary Policy
E58 Central Banks and Their Policies
Geographic Coverage:
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United States,
Euro Area
Time Period(s):
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1995 – 2011
Universe:
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European Central Bank Federal Reserve Professional forecasters Inflation expectations
Data Type(s):
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survey data;
event/transaction data;
aggregate data
Methodology
Data Source:
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Bloomberg ficial transactions data Central bank surveys
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