Estimating the inflation risk premium

Bruno Feunou and Gitanjali Kumar

No 2025-9, Staff Analytical Notes from Bank of Canada

Abstract: Is there a risk of de-anchoring of inflation expectations in the near term? We estimate the inflation risk premium using traditional asset pricing models to answer this question. The risk of de-anchoring is elevated compared with the period before the COVID-19 pandemic and is higher in the United States than in Canada.

Keywords: Asset pricing; Econometric and statistical methods (search for similar items in EconPapers)
JEL-codes: C22 C58 G12 (search for similar items in EconPapers)
Date: 2025-03
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