Brown Bag Seminar: Jean-Charles Wijnandts

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Inflation Expectations at the effective Lower Bound

Jean-Charles Wijnandts, UCLouvain LFIN

This paper extracts daily inflation expectations for the Euro Area from a joint model of nominal and inflation-linked swap contracts which enforces no-arbitrage restrictions. I quantify the impact of accounting properly for the time-varying effective lower bound on nominal interest rates when analyzing the evolution of medium-term inflation expectations during the recent period of low inflation in the Euro Area. This modeling contribution allows to assess the re-anchoring effect of unconventional monetary policies implemented by the European Central Bank.