マーケットベースのコアインフレ期待の測定

2024年2月公表のECBワーキングペーパー。原題は「Measuring market-based core inflation expectations」で、著者はAsger Munch Grønlund, Kasper Jørgensen, Fabian Schupp。以下はその要旨。We build a novel term structure model for pricing synthetic euro area core inflation-linked swaps, a hypothetical swap contract indexed to core inflation. Our approach relies on a term structure model of traded headline inflation-linked swap rates, which we assume span core inflation. The model provides estimates of market-based expectations for core inflation, as well as core inflation risk premia, at daily frequency, whereas core inflation expectati

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