We analyze a new option-based indicator of market perceptions of euro area deflation risks. We find that during 2010–2015, long-term deflation risks became slightly more sensitive to oil price changes and inflation surprises, suggesting a subtle weakening in anchoring.

Additional Metadata
Keywords Deflation, Inflation expectations, Monetary policy
Persistent URL dx.doi.org/10.1016/j.econlet.2018.03.028, hdl.handle.net/1765/112131
Journal Economics Letters
Galati, G. (Gabriele), Gorgi, Z. (Zion), Moessner, R. (Richhild), & Zhou, C. (Chen). (2018). Deflation risk in the euro area and central bank credibility. Economics Letters, 167, 124–126. doi:10.1016/j.econlet.2018.03.028