Kajuth, Florian; Watzka, Sebastian (2011): Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia. In: Quarterly Review of Economics and Finance, Vol. 51, No. 3: pp. 225-235 |
This is the latest version of this item.
Abstract
We propose a novel method to correct break-even inflation rates derived from index-linked bonds for liquidity and inflation risk premia without resorting to survey based measures. In a state-space framework the difference between break-even inflation rates and unobserved true inflation expectation is explained by measures of time-varying liquidity and inflation risk premia. Our results have better forecasting performance for the average annual inflation rate over the following 10 years than raw break-even rates and the Survey of Professional Forecasters.
Item Type: | Journal article |
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Faculties: | Economics Economics > Chairs > Seminar for Macroeconomics |
Subjects: | 300 Social sciences > 330 Economics |
Language: | English |
ID Code: | 19535 |
Deposited On: | 15. Apr 2014 08:51 |
Last Modified: | 04. Nov 2020 13:01 |
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Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia. (deposited 11. Jul 2008 06:36)
- Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia. (deposited 15. Apr 2014 08:51) [Currently Displayed]