Working Papers present research work by both Danmarks Nationalbank’s employees and our partners. Working Papers are primarily targeted at professionals and people with an interest in central banking research as well as economics and finance in a broader sense.
Measuring market-based core inflation expectations
We build a novel term-structure model for pricing synthetic euro area core inflation-linked swaps (ILS). Our approach relies on a term-structure model of traded headline ILS rates, assumed to span core inflation. From these synthetic swaps, we can extract genuine euro area core inflation expectations of market participants.
JEL Codes
E31, E44, E52.