Changes in inflation compensation and oil prices: short-term and long-term dynamics
نویسندگان
چکیده
This paper investigates the relationship between changes in euro area short-term and long-term market-based inflation expectations from January 2005 to September 2018, also devoting special attention relevance of oil market. The full sample is split into three subsets related different economic financial landscapes. To model conditional mean variance–covariance structure, a VAR-CCC-GARCH specification with effects volatility proves be preferable approach compared other multivariate GARCH models. In general, correlation compensation appears as constant relatively low each subset, though increasing since mid-2014. Furthermore, there are no signs fundamental deviations how affect longer-term vice versa. There evidence that tend respond movements prices over time, while ones started responding crude dynamics after mid-2008. On whole, these findings relevant for analysts, investors especially policymakers who charged ensuring price stability.
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ژورنال
عنوان ژورنال: Empirical Economics
سال: 2021
ISSN: ['1435-8921', '0377-7332']
DOI: https://doi.org/10.1007/s00181-021-02032-4