Forecasting market-based inflation expectations volatility: the role of energy variables

Block, Alexandre
(2025)

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Details

Supervisors
Iania, Leonardo
Faculty
Louvain School of Management
Degree label
Master [120] : ingénieur de gestion, à finalité spécialisée
Abstract
enMarket-based inflation expectations have become pivotal indicators for central banks and market participants in shaping forward-looking monetary policy and understanding inflation dynamics. This thesis, based on a quantitative research approach, aims to investigate the impact of crude oil and natural gas price volatilities on the forecasted volatilities of market-based inflation expectations in the Euro Area and the United States using an EGARCH-model, across different time horizons.