Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty

Item Type Journal paper
Abstract

The difference between nominal and real interest rates (break-even inflation) is often used to gauge the market's inflation expectations-and has become an important tool in monetary policy analysis. However, break-even inflation can move in response to shifts in inflation risk premia and liquidity premia as well as to changes in expected inflation. This paper sheds light on this issue by analyzing the evolution of U.S. break-even inflation from 1997 to mid-2008. Regression results show that survey data on inflation uncertainty and proxies for liquidity premia are important factors.

Authors Söderlind, Paul
Journal or Publication Title International Journal of Central Banking
Language English
Subjects economics
Institute/School s/bf - Swiss Institute of Banking and Finance
HSG Classification contribution to scientific community
Refereed Yes
Date 1 June 2011
Publisher Federal Reserve Bank of San Francisco
Place of Publication San Francisco, CA
Number June
Page Range 113-133
Number of Pages 20
ISSN 1815-4654
ISSN-Digital 1815-7556
Official URL http://www.ijcb.org/journal/ijcb11q2a4.pdf
Depositing User Prof. PhD. Paul Söderlind
Date Deposited 30 Aug 2010 13:34
Last Modified 23 Aug 2016 11:08
URI: https://www.alexandria.unisg.ch/publications/69019

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Citation

Söderlind, Paul (2011) Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty. International Journal of Central Banking, (June). 113-133. ISSN 1815-4654

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https://www.alexandria.unisg.ch/id/eprint/69019
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