The term structure of inflation expectations

Arbeitspapier

We present estimates of the term structure of inflation expectations, derived from an affine model of real and nominal yield curves. The model features stochastic covariation of inflation with the real pricing kernel, enabling us to extract a time-varying inflation risk premium. We fit the model not only to yields, but also to the yields' variance-covariance matrix, thus increasing identification power. We find that model-implied inflation expectations can differ substantially from break-even inflation rates when market volatility is high. Our model's ability to be updated weekly makes it suitable for real-time monetary policy analysis.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Staff Report ; No. 362

Klassifikation und Themen

• Klassifikation: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Asset Pricing; Trading Volume; Bond Interest Rates
• Thema: Affine term structure models ; inflation expectations ; stochastic volatility ; asset pricing ; monetary policy ; Inflationserwartung ; Zinsstruktur ; Kapitalertrag ; Volatilität ; Capital Asset Pricing Model ; Geldpolitik ; Theorie

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Adrian, Tobias ; Wu, Hao
• Ereignis: Veröffentlichung
• (wer): Federal Reserve Bank of New York
• (wo): New York, NY
• (wann): 2009

Weitere Informationen

• Handle: http://hdl.handle.net/10419/60860
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ