No. 991 - Survey-based daily estimates of inflation expectations and risk premia in the euro area

Questioni di Economia e Finanza (Occasional papers)
by Francesca Lilla and Gabriele Zinna
December 2025
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This paper proposes a real-time methodology for decomposing the forward rates on swap contracts indexed to euro-area consumer prices into inflation expectations and risk premia, which are useful for cyclical and monetary policy analysis. Expectations are obtained by combining information from quarterly surveys of professional forecasters with daily swap contract data; premia are calculated as the difference between forward rates and estimated expectations.

Between 2012 and 2025, long-term inflation expectations remained close to the ECB's target and were significantly less volatile than short-term expectations. Inflation risk premia, which were negative until 2021, turned positive during the subsequent phase of strong price growth. In 2025, the announcement of the German fiscal plan increased premia, while the announcement of tariffs imposed by the US administration reduced both premia and expectations.

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  1. 17 December 2025
    No. 991 - Survey-based daily estimates of inflation expectations and risk premia in the euro area
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