Macroeconomic drivers of inflation expectations and inflation risk premia

Jef Boeckx (), Leonardo Iania and Joris Wauters
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Jef Boeckx: Economics and Research Department, National Bank of Belgium

No 446, Working Paper Research from National Bank of Belgium

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 into how macroeconomic variables affect market-based inflation expectation measures

Keywords: Inflation-linked swaps; affine term structure model; inflation expectations; inflation risk premia; inflation trend; shifting endpoints (search for similar items in EconPapers)
JEL-codes: E31 E44 E52 (search for similar items in EconPapers)
Pages: 48 pages
Date: 2024-02
New Economics Papers: this item is included in nep-ban, nep-mon and nep-upt
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Citations: View citations in EconPapers (2)

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https://www.nbb.be/nl/articles/macroeconomic-drive ... nflation-risk-premia (application/pdf)

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 (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:nbb:reswpp:202402-446

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