Template-type: ReDIF-Article 1.0
Author-Name: Evgeniy Tymchenko
Author-Email: tymchenko.e@hse.ru
Author-Workplace-Name: HSE University
Title: Financial Market Participants' Inflation Expectations: Measurement, Interpretation, and Anchoring
Abstract: An approach to developing a single measure of inflation expectations based on various sets of bonds using a state-space model is proposed. The study examines the features of the obtained measure, discussing the time-varying horizon problem, limitations of the measure, and conditions for its correct interpretation. Using a Bayesian approach with the No-U-Turn Sampler (NUTS), we estimate the long-term anchor for financial market participants' inflation expectations.
Classification-JEL: E52, D84, E31, C11
Keywords: monetary policy, inflation expectations, Bayesian analysis, OFZ-IN, state-space model
Journal: Russian Journal of Money and Finance
Pages: 3-21
Volume: 85
Issue: 3
Year: 2026
Month: September
DOI:
File-URL: https://rjmf.econs.online/upload/documents/RJMF-85-3-Financial-Market-Participants-Inflation-Expectations.pdf
Handle: RePEc:bkr:journl:v:85:y:2026:i:3:p:3-21