Market-implied inflation and growth rates adversely affected by the Brent

Gilbert Cette and Marielle de Jong ()

Journal of Asset Management, 2013, vol. 14, issue 3, No 1, 133-139

Abstract: Abstract The inflation and the real yield component deduced from inflation-linked and nominal bond prices are adversely affected by two market effects: price distortions due to certain market-related events and oil price movements. Their underlying time correlation without those effects is stable and positive. Market data analysis carried out on the world’s major bond markets gives valuable new insight into the long-debated relationship between inflation and growth prospects.

Keywords: inflation-linked bonds; breakeven inflation; Fisher hypothesis; Brent (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1057/jam.2013.10

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