The rocky ride of break-even inflation rates

Marielle de Jong () and Gilbert Cette ()
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Marielle de Jong: Sinopia Asset Management

Economics Bulletin, 2008, vol. 5, issue 31, pages 1-8

Abstract: The correlation matrix between break-even inflation rate movements and real interest rate movements across several countries shows puzzling features. Correlation is significantly positive for nearly all cross-border pairs whereas it is nil, positive or negative unsystematically within countries. By means of a correlation matrix decomposition, we give an explanation for this puzzle.

Keywords: Inflation-linked bonds; break-even inflation rates (search for similar items in EconPapers)
JEL-codes: E4 G1 (search for similar items in EconPapers)
Date: 2008-10-17
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Working Paper: The Rocky Ride of Break-even-inflation rates (2009)
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