Has the Inflation Risk Premium Fallen? Is it Now Negative?

Andrew Chen, Eric Engstrom and Olesya Grishchenko

No 2016-04-04, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: In this note, we examine the theoretical determinants of one important component of inflation compensation, the inflation risk premium, and argue that a secular decline in the inflation risk premium may be responsible for a substantial portion of the decline in inflation compensation in recent years.

Date: 2016-04-04
New Economics Papers: this item is included in nep-mac and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2016-04-04

DOI: 10.17016/2380-7172.1720

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