Arbeitspapier
Inflation risks and inflation risk premia
This paper investigates the link between the perceived inflation risks in macroeconomic forecasts and the inflation risk premia embodied in financial instruments. We first provide some stylized facts about the term structure of inflation compensation, inflation expectations and inflation risk premia in the euro area bond market. Latent factor models like ours fit data well, but are often critisized for lacking economic interpretation. Using survey inflation risks, we show that perceived asymmetries in inflation risks help interpret the dynamics of long-term inflation risk premia, even after controlling for a large number of macro and financial factors.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1162
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Price Level; Inflation; Deflation
Interest Rates: Determination, Term Structure, and Effects
- Thema
-
Affine term structure models
inflation compensation
inflation risk
inflation risk premia
inflation risks
state-space modelling
Inflation
Risikoprämie
Zinsstruktur
Zustandsraummodell
- Ereignis
-
Geistige Schöpfung
- (wer)
-
García, Juan Angel
Werner, Thomas
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- García, Juan Angel
- Werner, Thomas
- European Central Bank (ECB)
Entstanden
- 2010
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