Coffinet, Jerome; Frappa, Sebastien - In: The European Journal of Finance 16 (2010) 8, pp. 769-783
In this study, we analyse the effect of macroeconomic surprises on inflation compensation data - the sum of inflation expectation, risk and liquidity premia - in the euro area. The empirical analysis is based on a daily data set, which covers a wide spectrum of maturities, stemming from...