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Survey-based daily estimates of inflation expectations and risk premia in the euro area

Author

Listed:
  • Francesca Lilla

    (Bank of Italy)

  • Gabriele Zinna

    (Bank of Italy)

Abstract

In this research note, we develop real-time, daily estimates of survey-based inflation expectations and inflation risk premia for the euro area using a simple, nearly model-free approach. We first estimate daily inflation expectations by projecting low-frequency survey measures onto a small set of daily financial variables. We then compute daily inflation risk premia as the difference between inflation-linked swap (ILS) forward rates and the estimated survey-based expectations. The resulting daily estimates provide timely insights for conjunctural analysis and monetary policy, offering a useful complement to measures derived from dynamic term structure models.

Suggested Citation

  • Francesca Lilla & Gabriele Zinna, 2025. "Survey-based daily estimates of inflation expectations and risk premia in the euro area," Questioni di Economia e Finanza (Occasional Papers) 991, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:opques:qef_991_25
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    File URL: https://www.bancaditalia.it/pubblicazioni/qef/2025-0991/QEF_991_25.pdf
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    Keywords

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    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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