Deflation risk in the euro area and central bank credibility

G Galati; Z Gorge; R Moessner; Chen Zhou

doi:10.1016/j.econlet.2018.03.028

Deflation risk in the euro area and central bank credibility

G Galati, Z Gorge, R Moessner, Chen Zhou

Econometrics

Research output: Contribution to journal › Article › Academic › peer-review

5 Citations (Scopus)

26 Downloads (Pure)

Abstract

We analyze a new option-based indicator of market perceptions of euro area deflation risks. We find that during 2010–2015, long-term deflation risks became slightly more sensitive to oil price changes and inflation surprises, suggesting a subtle weakening in anchoring.

Original language	Undefined/Unknown
Pages (from-to)	124-126
Number of pages	3
Journal	Economics Letters
Volume	167
DOIs	https://doi.org/10.1016/j.econlet.2018.03.028
Publication status	Published - 2018

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10.1016/j.econlet.2018.03.028

RePub-112131.pdfFinal published version, 247 KBLicence: Article 25fa Dutch Copyright Act

http://hdl.handle.net/1765/112131

Cite this

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title = "Deflation risk in the euro area and central bank credibility",

abstract = "We analyze a new option-based indicator of market perceptions of euro area deflation risks. We find that during 2010–2015, long-term deflation risks became slightly more sensitive to oil price changes and inflation surprises, suggesting a subtle weakening in anchoring.",

author = "G Galati and Z Gorge and R Moessner and Chen Zhou",

year = "2018",

doi = "10.1016/j.econlet.2018.03.028",

language = "Undefined/Unknown",

volume = "167",

pages = "124--126",

journal = "Economics Letters",

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AU - Galati, G

AU - Gorge, Z

AU - Moessner, R

AU - Zhou, Chen

PY - 2018

Y1 - 2018

N2 - We analyze a new option-based indicator of market perceptions of euro area deflation risks. We find that during 2010–2015, long-term deflation risks became slightly more sensitive to oil price changes and inflation surprises, suggesting a subtle weakening in anchoring.

AB - We analyze a new option-based indicator of market perceptions of euro area deflation risks. We find that during 2010–2015, long-term deflation risks became slightly more sensitive to oil price changes and inflation surprises, suggesting a subtle weakening in anchoring.

U2 - 10.1016/j.econlet.2018.03.028

DO - 10.1016/j.econlet.2018.03.028

M3 - Article

SN - 0165-1765

VL - 167

SP - 124

EP - 126

JO - Economics Letters

JF - Economics Letters

ER -