Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty

Paul Söderlind

International Journal of Central Banking, 2011, vol. 7, issue 2, 113-133

Abstract: The difference between nominal and real interest rates (break-even inflation) is often used to gauge the market’s inflation expectations—and has become an important tool in monetary policy analysis. However, break-even inflation can move in response to shifts in inflation risk premia and liquidity premia as well as to changes in expected inflation. This paper sheds light on this issue by analyzing the evolution of U.S. break-even inflation from 1997 to mid-2008. Regression results show that survey data on inflation uncertainty and proxies for liquidity premia are important factors.

JEL-codes: E27 E47 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (19)

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Related works:
Working Paper: Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty (2009)
Working Paper: Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty (2009)
Working Paper: Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:ijc:ijcjou:y:2011:q:2:a:4

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