The inflation risk premium in the term structure of interest rates

Peter Hördahl

BIS Quarterly Review, 2008

Abstract: A dynamic term structure model based on an explicit structural macroeconomic framework is used to estimate inflation risk premia in the United States and the euro area. On average over the past decade, inflation risk premia have been relatively small but positive. They have exhibited an increasing pattern with respect to maturity for the euro area and a flatter one for the United States. Furthermore, the estimates imply that risk premia vary over time, mainly in response to fluctuations in economic growth and inflation.

JEL-codes: E43 E44 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (23)

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Related works:
Journal Article: INFLATION RISK PREMIA IN THE TERM STRUCTURE OF INTEREST RATES (2012)
Working Paper: Inflation risk premia in the term structure of interest rates (2007)
Working Paper: Inflation risk premia in the term structure of interest rates (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:bis:bisqtr:0809e

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