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The eurozone (expected) inflation: An option's eyes view

Ricardo Gimeno,Alfredo Ibáñez

Journal of International Money and Finance（2018）

Cited 41|Views8
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Abstract
•We estimate euro area inflation risk-neutral densities, using inflation derivatives.•A parsimonious approach is used to jointly estimate the densities across horizons.•Key 5-year-on-5-year inflation rate densities are obtained.•We study how these densities react to the ECB's non-conventional monetary policies.
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Key words
E31,E44,G13
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