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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 give an explanation for this puzzle.
Year of publication:
2008-10-17
Authors: Jong, Marielle de ; Cette, Gilbert
Published in:
Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 5.2008, 31, p. 1-8
Publisher: AccessEcon
Subject: Inflation-linked bonds
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Extent:
application/pdf
Type of publication: Article
Classification: E4 - Money and Interest Rates ; G1 - General Financial Markets
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Persistent link: https://www.econbiz.de/10010630426
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