What do negative inflation risk premia tell us?

Kei Imakubo and Jouchi Nakajima
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Kei Imakubo: Bank of Japan

No 15-E-4, Bank of Japan Research Laboratory Series from Bank of Japan

Abstract: The inflation risk premium is an indicator of uncertainty about future inflation. While a positive premium on inflation risk implies more concern about the upside risk of inflation, a negative premium implies more concern about the downside risk. In Japan the inflation risk premium had been constantly negative over a period of time until the end of 2012, but turned positive in early 2013. This finding suggests that market concerns about future inflation have shifted to the upside risk along with a gradual increase in the expected inflation.

Keywords: Inflation risk premia; Term premia; Term structure (search for similar items in EconPapers)
JEL-codes: E31 E43 E52 G12 (search for similar items in EconPapers)
Date: 2015-07-09
New Economics Papers: this item is included in nep-mac, nep-mon and nep-upt
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