Spanish paper looks at eurozone inflation expectations

The Bank of Spain

Inflation expectations in the major eurozone economies are more influenced by factors common to the entire area than by country-specific ones, a working paper published by the Bank of Spain argues.

In The evolution of inflation expectations in Euro area markets, Ricardo Gimeno and Eva Ortega construct a multi-country dynamic factor model, based on a 2008 paper by Diebold, Li and Yue. They use this model to assess daily inflation swaps data from Spain, Italy, France, Germany and the eurozone as a

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