Kajuth, Florian; Watzka, Sebastian - In: The Quarterly Review of Economics and Finance 51 (2011) 3, pp. 225-235
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...