Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty

Paul Söderlind

University of St. Gallen Department of Economics working paper series 2008 from Department of Economics, University of St. Gallen

Abstract: Nominal and real U.S. interest rates (1997-2007) are combined with inflation expectations from the Survey of Professional Forecasters to calculate time series of "inflation risk premia." It is shown that survey data on inflation and output growth uncertainty, as well as a proxy for liquidity premia can explain a large amount of the variation in these risk premia.

Keywords: break-even inflation; liquidity premium, Survey of Professional Forecasters (search for similar items in EconPapers)
JEL-codes: E27 E47 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2008-06
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://ux-tauri.unisg.ch/RePEc/usg/dp2008/DP-12-So.pdf (application/pdf)

Related works:
Journal Article: Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty (2011)
Working Paper: Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty (2009)
Working Paper: Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:usg:dp2008:2008-12

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