Title:

How Do Zero-Coupon Inflation Swaps Predict Inflation Rates in the Euro Area? Evidence of Efficiency and Accuracy on 1-Year Contracts

Authors:

Pedro Pires (Bank of Portugal, ISCTE - Instituto Universitário de Lisboa)
José Dias Curto (ISCTE - Instituto Universitário de Lisboa)

Journal:

Empirical Economics

Year:

2018

Volume:

54

Number:

4

Pages:

1451-1475

JEL codes:

E31 - Price Level; Inflation; Deflation
E44 - Financial Markets and the Macroeconomy
E3 - Prices, Business Fluctuations, and Cycles
G13 - Contingent Pricing; Futures Pricing

DOI:

10.1007/s00181-017-1268-8