The term structure of euro area break-even inflation rates: the impact of seasonality

Jacob Ejsing, Garcí­a, Juan Angel and Thomas Werner

No 830, Working Paper Series from European Central Bank

Abstract: This paper provides a toolkit for extracting accurate information about inflation expectations using inflation-linked bonds. First, we show how to estimate term structures of zero-coupon real rates and break-even inflation rates (BEIRs) in the euro area. This improves the analysis of developments in inflation expectations by providing constant maturity measures. Second, we show that seasonality in consumer prices introduces misleading and quantitatively important time-varying distortions in the calculated BEIRs. We explain how to correct for this in the estimation of the term structure, and thus provide a unified framework for extracting constant maturity BEIRs corrected for seasonality. JEL Classification: E31, E43, G12

Keywords: break-even inflation rates; inflation-linked bonds; inflation seasonality; term structure (search for similar items in EconPapers)
Date: 2007-11
Note: 807173
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2007830

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