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Finance and Economics Discussion SeriesFederal Reserve Board, Washington, D.C.ISSN 1936-2854 (Print)ISSN 2767-3898 (Online)How Stable are Inflation Expectations in the Euro Area?Evidence from the Euro-Area Financial MarketsOlesya V. Grishchenko, Franck Moraux, Olga Pakulyak2025-041Please cite this paper as:Grishchenko, Olesya V., Franck Moraux, and Olga Pakulyak (2025). “How Stable are In-flation Expectations in the Euro Area? Evidence from the Euro-Area Financial Markets,”Finance and Economics Discussion Series 2025-041. Washington: Board of Governors of theFederal Reserve System, https://doi.org/10.17016/FEDS.2025.041.NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminarymaterials circulated to stimulate discussion and critical comment. The analysis and conclusions set forthare those of the authors and do not indicate concurrence by other members of the research staff or theBoard of Governors. References in publications to the Finance and Economics Discussion Series (other thanacknowledgement) should be cleared with the author(s) to protect the tentative character of these papers.How Stable are Inflation Expectations in theEuro Area? Evidence from the Euro-AreaFinancial Markets∗Olesya V. Grishchenko†Franck Moraux‡Olga Pakulyak§June 2, 2025AbstractWe analyze evolution of inflation expectations in the euro area (EA) using a novel measureof inflation expectations implied by the French nominal and inflation-indexed bonds. Overall,we find that EA inflation expectations have been relatively well anchored in the 2004 – 2019sample but have been somewhat sensitive to the incoming macroeconomic news and monetarypolicy shocks in the sample that includes the COVID-19 pandemic. Our results are robustwith respect to the use of different inflation-indexed securities data, such as the EA inflation-linked swaps.JEL Classification: D84, E31, E37, E52, E58Keywords: Obligations Assimilables du Tr´esor, OAT, French inflation-indexed bonds, nominal-indexed bond spreads, inflation swaps, inflation expectations, macroeconomic news, monetarypolicy shocks, euro area, inflation anchoring, stability.∗The opinions expressed in this paper are those of the authors and do not necessarily reflect the views of theFederal Reserve System.Authors thank Matthieu Bussiere, Jean Dalbard, Adrian Penalver, Sophie Guilloux-Nefussi, Julia Schmidt, Aymeric Ortmans, Jean-Paul Renne, Athanasios Orphanides, Urszula Szczerbowicz, andFabian Wening, as well as participants of the 39th French Finance Association Annual Meeting in June 2023, theSociety of Computational Economics annual meeting in July 2023, Banque de France research seminar in September2024, and Banque de France workshop on the OAT markets in February 2025 for their valuable comments andsuggestions. Previously, the paper circulated under the title ”Inflation, Real Interest Rates, and the Bond Market:A Study of French Index-Linked Government Bonds”.Grishchenko thanks Banque de France for its g