The Rocky Ride of Break-even-inflation rates.
The correlation matrix between break-even inflation rate movements and real interest rate movements across several countries shows puzzling features. Correlation is significantly positive for nearly all cross-border pairs whereas it is nil, positive or negative unsystematically within countries. By means of a correlation matrix decomposition, we provide an explanation for this puzzle.
Year of publication: |
2009
|
---|---|
Authors: | Cette, G. ; De Jong, M. |
Institutions: | Banque de France |
Subject: | Inflation-linked bonds | Break-even inflation rates |
Saved in:
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