The Rocky Ride of Break-even-inflation rates

Gilbert Cette () and M. De Jong

Documents de Travail from Banque de France

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 provide an explanation for this puzzle.

Keywords: Inflation-linked bonds; Break-even inflation rates (search for similar items in EconPapers)
JEL-codes: E43 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Date: 2009

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Journal Article: The rocky ride of break-even inflation rates (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:bfr:banfra:230

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