Estimating Inflation Expectations using French Government Inflation-Indexed Bonds

Francisco Alonso, Roberto Blanco and Ana Del Rio
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Francisco Alonso: Banco de España

No 111, Working Papers from Banco de España

Abstract: Inflation-indexed bonds are fixed-income securities whose nominal cash flows are adjusted to an inflation index. In countries where these securities exist, inflation expectations are sometimes estimated as the spread between the nominal yield on a conventional bond and the real yield on an indexed bond with similar maturity and issued in the same currency and by the same issuer. However, this indicator known as the break-even rate, may estimate inflation expectations with some biases. In this paper, we discuss, and quantify where possible, the size of such biases.

Keywords: inflation; expectations; income (search for similar items in EconPapers)
JEL-codes: E31 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2001
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:0111

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