ESTIMATING INFLATION RISK PREMIA USING INFLATION‐LINKED BONDS: A REVIEW

Alexander Kupfer

Journal of Economic Surveys, 2018, vol. 32, issue 5, 1326-1354

Abstract: This paper provides an overview of studies that estimate the inflation risk premium using inflation‐linked bond (ILB) yields. I categorize existing studies, outline their research designs and compare their estimates for the inflation risk premium. Furthermore, the importance of accounting for ILB illiquidity and an overview of existing ILB liquidity proxies are demonstrated. A discussion of current literature developments, such as the zero lower bound, and an outline for future research directions conclude the paper.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
https://doi.org/10.1111/joes.12265

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jecsur:v:32:y:2018:i:5:p:1326-1354

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0950-0804

Access Statistics for this article

More articles in Journal of Economic Surveys from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().