Drivers of Inflation Compensation: Evidence from Inflation Swaps in Advanced Economies
Marius Rodriguez () and
Emre Yoldas ()
No 2016-12-30-2, IFDP Notes from Board of Governors of the Federal Reserve System (U.S.)
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.
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