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Core and 'Crust' : Consumer Prices and the Term Structure of Interest Rates
Ajello, Andrea - 2012
inflation-indexed bond market. Finally, we find a pronounced declining pattern in the inflation risk premium that illustrates …
Persistent link: https://www.econbiz.de/10013114689
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Yield Expectations and Monetary Policy
Carr, Douglas - 2012
This paper applies a yield curve model that separates expectations and volatility components of market yields on default-free bonds. Expected future riskless rates derived from the model are unbiased, reasonably accurate indicators of subsequent actual riskless rates for periods up to three...
Persistent link: https://www.econbiz.de/10013116388
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Bond Market Co-Movements, Expected Inflation and the Equilibrium Real Exchange Rate
Macchiarelli, Corrado - 2011
Since the end of the fixed rates in 1973 and after the EMS sterling dismissal in 1992, the value of the pound has undergone large cyclical fluctuations on average. Of particular interest to policy makers is the understanding of whether such movements are consistent with the lack or not of a...
Persistent link: https://www.econbiz.de/10013118031
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Core and 'Crust' : Consumer Prices and the Term Structure of Interest Rates -- Online Appendix
Ajello, Andrea - 2012
inflation-indexed bond market. Finally, we find a pronounced declining pattern in the inflation risk premium that illustrates …
Persistent link: https://www.econbiz.de/10013096190
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Inflation Risk Premium : Evidence from the TIPS Market
Grishchenko, Olesya V. - 2012
-2008. The approach we use to estimate inflation risk premium is arbitrage free, largely model free, and easy to implement. We … that the inflation risk premium is time-varying: it is negative (positive) in the first (second) half of the sample period …. The average 10-year inflation risk premium ranges from -16 to 10 basis points over the full sample depending on the proxy …
Persistent link: https://www.econbiz.de/10013108740
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Unconventional Monetary Policy and the Anchoring of Inflation Expectations
Ciccarelli, Matteo - 2017
The effects of the unconventional monetary policy (UMP) measures undertaken by the U.S. Federal Reserve (and other major central banks) remain a crucial topic for research. This paper investigates their effects on the anchoring of long-term inflation expectations, a key dimension of UMP that has...
Persistent link: https://www.econbiz.de/10012963931
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유가가 손익분기인플레이션에 미치는 영향 (The Effect of Oil Prices on Break-Even Inflation Rates of the United States)
Kim, Jinyong - 2017
Korean Abstract: 이 연구는 유가가 미국 물가연동국채의 손익분기인플레이션(BEI)에 미치는 영향을 실증적으로 분석하였다. 추정결과 유가의 변동이 2년·5년· 10년 BEI에 통계적으로 유의한 영향을 미치는 것으로 나타났으며,...
Persistent link: https://www.econbiz.de/10012957159
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Oil Price, Bond Return, and Breakeven Inflation
Jiang, Haibo - 2019
changes and equity risk premium. Using oil supply, global demand, and oil-specific demand shocks, estimated from a structural … shocks predict negative real bond risk premium and positive inflation risk premium. Since these two effects offset each other …, we observe insignificant effect on the bond risk premium. A two-sector New Keynesian model shows theoretically that real …
Persistent link: https://www.econbiz.de/10012900206
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Financial Market Risk Perceptions and the Macroeconomy
Pflueger, Carolin E. - 2019
We propose a novel measure of risk perceptions: the price of volatile stocks (PVSt), defined as the book-to-market ratio of low-volatility stocks minus the book-to-market ratio of high-volatility stocks. PVSt is high when perceived risk directly measured from surveys and option prices is low....
Persistent link: https://www.econbiz.de/10012902628
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The Inflation Risk Premium : Evidence from the TIPS Market
Grishchenko, Olesya V. - 2019
This paper estimates the inflation risk premium using data on prices of Treasury inflation-protected securities (TIPS … prices only. We estimate the liquidity premium to be around 13 basis points over the full sample, but substantially higher in … the first subperiod. We find that the inflation risk premium is time varying and, on average, is considerably lower than …
Persistent link: https://www.econbiz.de/10012905530