The Rocky Ride of Break-even-inflation rates

Gilbert Cette and Marielle de Jong ()

Working papers from Banque de France

Abstract: The correlation matrix between break-even inflation rate movements and real interest rate movements across several countries shows puzzling features. Correlation is significantly positive for nearly all cross-border pairs whereas it is nil, positive or negative unsystematically within countries. By means of a correlation matrix decomposition, we provide an explanation for this puzzle.

Keywords: Inflation-linked bonds; Break-even inflation rates (search for similar items in EconPapers)
JEL-codes: E43 G15 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2009
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: Add references at CitEc
Citations:

Downloads: (external link)
https://publications.banque-france.fr/sites/defaul ... g-paper_230_2009.pdf (application/pdf)

Related works:
Journal Article: The rocky ride of break-even inflation rates (2008)
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:bfr:banfra:230

Access Statistics for this paper

More papers in Working papers from Banque de France Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS. Contact information at EDIRC.
Bibliographic data for series maintained by Michael brassart ().