This paper illustrates and discusses the monetary policies activated in response to the COVID-19 crisis. We argue that these policy measures have stabilised the European economic and financial system by incentivising banks’ lending to households and businesses and by indirectly creating short-te...
I propose a new term structure model for euro area real and nominal interest rates which explicitly incorporates a time-varying lower bound for nominal interest rates. Results suggest that the lower bound is of importance in structural analyses implying time-varying impulse responses of yield co...
Since the introduction of the euro in 2002, the European Commission has regularly conducted surveys measuring public perceptions of the currency among citizens living in the euro-area countries. This Flash Eurobarometer survey represents the 19th in this series of surveys and includes evaluation...
The paper argues that the monetary policy response to the COVID-19 crisis has been appropriate in terms of the ECB’s primary objective. The concern over fiscal dominance is, however, valid as in a situation of rising inflationary pressure the ECB would have to choose between maintaining price st...
Aggregate exchange rate pass-through (ERPT) to import and consumer prices in the EU is currently lower than it was in the 1990s and is non-linear. Low estimated aggregate ERPT to consumer prices does not at all mean that exchange rate movements do not have an impact on inflation, as aggregate ru...
The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging inflation risks from the perspective of a well diversified portf...
Using micro data from the 2015 Dutch CentERpanel, we examine whether trust in the European Central Bank (ECB) influences individuals’ expectations and uncertainty about future inflation, and whether it anchors inflation expectations. We find that higher trust in the ECB lowers inflation expectat...
We compare direct forecasts of HICP and HICP excluding energy and food in the euro area and five member countries to aggregated forecasts of their main components from large Bayesian VARs with a shared set of predictors. We focus on conditional point and density forecasts, in line with forecastin...
This paper details the rationale and methodology behind the construction of the Persistent and Common Component of Inflation (PCCI), a measure of underlying inflation in the euro area. The PCCI reflects the view that underlying inflation captures widespread developments across the Harmonised Ind...