Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia

Arbeitspapier

We provide a critical assessment of the method used by the Cleveland Fed to correct expected inflation derived from index-linked bonds for liquidity and inflation risk premia and show how their method can be adapted to account for time-varying inflation risk premia. Furthermore, we show how sensitive the Cleveland Fed approach is to different measures of the liquidity premium. In addition we propose an alternative approach to decompose the bias in inflation expectations derived from index-linked bonds using a state-space estimation. Our results show that once one accounts for time-varying liquidity and inflation risk premia current 10-year U.S. inflation expectations are lower than estimated by the Cleveland Fed.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Munich Discussion Paper ; No. 2008-13

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Price Level; Inflation; Deflation ; Monetary Policy ; Asset Pricing; Trading Volume; Bond Interest Rates
• Thema: Inflation expectations ; liquidity risk premium ; inflation risk premium ; treasury inflation-protected securities (TIPS) ; state-space model ; Inflationserwartung ; Öffentliche Anleihe ; Indexbindung ; Liquiditätspräferenz ; Risikoprämie ; Schätzung ; USA

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Kajuth, Florian ; Watzka, Sebastian
• Ereignis: Veröffentlichung
• (wer): Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät
• (wo): München
• (wann): 2008

Weitere Informationen

• DOI: doi:10.5282/ubm/epub.4858
• Handle: http://hdl.handle.net/10419/104269
• URN: urn:nbn:de:bvb:19-epub-4858-5
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ