Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia

Jef Boeckx, Leonardo Iania and Joris Wauters
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Jef Boeckx: National Bank of Belgium

No 2023003, LIDAM Discussion Papers LFIN from Université catholique de Louvain, Louvain Finance (LFIN)

Abstract: We propose a new model to decompose inflation swaps into genuine inflation expectations and risk premiums. We develop a no-arbitrage term structure model with stochastic endpoints, separating macroeconomic variables into transitory parts and long-run, economically-grounded, determinants, such as the equilibrium real interest rate and the inflation target. Our estimations deliver new insights as to how macroeconomic variables affect market-based inflation expectation measures.

Pages: 41
Date: 2023-06-21
New Economics Papers: this item is included in nep-mon and nep-upt
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Related works:
Journal Article: Macroeconomic Drivers of Inflation Expectations and Inflation Risk Premia (2025)
Working Paper: Macroeconomic drivers of inflation expectations and inflation risk premia (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:ajf:louvlf:2023003

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