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.
- Language
-
Englisch
- Bibliographic citation
-
Series: ECB Working Paper ; No. 1162
- Classification
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Price Level; Inflation; Deflation
Interest Rates: Determination, Term Structure, and Effects
- Subject
-
Affine term structure models
inflation compensation
inflation risk
inflation risk premia
inflation risks
state-space modelling
Inflation
Risikoprämie
Zinsstruktur
Zustandsraummodell
- Event
-
Geistige Schöpfung
- (who)
-
García, Juan Angel
Werner, Thomas
- Event
-
Veröffentlichung
- (who)
-
European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2010
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- García, Juan Angel
- Werner, Thomas
- European Central Bank (ECB)
Time of origin
- 2010
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