Bahaj, Saleem; Czech, Robert; Ding, Sitong; Reis, Ricardo - 2023
This paper uses transaction-level data on the universe of traded UK inflation swaps to characterize who buys and sells … inflation risk, when, and with what price elasticity. This provides measures of expected inflation cleaned from liquidity … of long-horizon inflation protection is very elastic; and (iii) short-horizon price movements are unreliable measures of …