Abstract: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 to the relevance of the oil market. The full sample is split into three subsets related to different economic and financial landscapes. To model the conditional mean and the variance-covariance structure, a VAR-CCC-GARCH specification with oil effects in the volatility proves to be a preferable approach compared t… Show more
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