Drivers of Inflation Compensation: Evidence from Inflation Swaps in Advanced Economies

Marius Rodriguez (marius.d.rodriguez@frb.gov) and Emre Yoldas

No 2016-12-30-2, IFDP Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: In this note, we provide a comparative analysis of inflation swaps for three advanced economies: the United States, the euro area, and the United Kingdom. We consider empirical proxies for energy prices, economic activity, exchange rates, and risky asset prices as potential drivers of inflation expectations and risk premiums in a regression framework.

Date: 2016-12-30
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgin:2016-12-30-2

DOI: 10.17016/2573-2129.28

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