IDEAS home Printed from https://ideas.repec.org/a/bla/jecsur/v32y2018i5p1326-1354.html
   My bibliography  Save this article

Estimating Inflation Risk Premia Using Inflation‐Linked Bonds: A Review

Author

Listed:
  • Alexander Kupfer

Abstract

This paper provides an overview of studies that estimate the inflation risk premium using inflation‐linked bond (ILB) yields. I categorize existing studies, outline their research designs and compare their estimates for the inflation risk premium. Furthermore, the importance of accounting for ILB illiquidity and an overview of existing ILB liquidity proxies are demonstrated. A discussion of current literature developments, such as the zero lower bound, and an outline for future research directions conclude the paper.

Suggested Citation

  • Alexander Kupfer, 2018. "Estimating Inflation Risk Premia Using Inflation‐Linked Bonds: A Review," Journal of Economic Surveys, Wiley Blackwell, vol. 32(5), pages 1326-1354, December.
    • Handle: RePEc:bla:jecsur:v:32:y:2018:i:5:p:1326-1354
    DOI: 10.1111/joes.12265
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/joes.12265
    Download Restriction: no
    File URL: https://libkey.io/10.1111/joes.12265?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Westerhout, Ed, 2021. "Inflation-Linked Bonds, Nominal Bonds, and Countercyclical Monetary Policies," Other publications TiSEM ee384b1f-4e6f-4f30-821e-d, Tilburg University, School of Economics and Management.
    2. Montes, Gabriel Caldas & de Hollanda Lima, Natalia Teixeira, 2022. "Discretionary fiscal policy, fiscal credibility and inflation risk premium," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 208-222.
    3. Baumann, Ursel & Darracq Pariès, Matthieu & Westermann, Thomas & Riggi, Marianna & Bobeica, Elena & Meyler, Aidan & Böninghausen, Benjamin & Fritzer, Friedrich & Trezzi, Riccardo & Jonckheere, Jana & , 2021. "Inflation expectations and their role in Eurosystem forecasting," Occasional Paper Series 264, European Central Bank.
    4. Casiraghi, Marco & Miccoli, Marcello, 2019. "Inflation risk premia and risk-adjusted expectations of inflation," Economics Letters, Elsevier, vol. 175(C), pages 36-39.
    5. Marcello Pericoli, 2019. "An assessment of recent trends in market-based expected iflation in the euro area," Questioni di Economia e Finanza (Occasional Papers) 542, Bank of Italy, Economic Research and International Relations Area.
    6. Béatrice Séverac & José S. Fonseca, 2021. "Relative pricing of French Treasury inflation-linked and nominal bonds: an empirical approach using arbitrage strategies," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 20(3), pages 273-295, September.
    7. Huang, Xiaoyong & Jia, Fei & Xu, Xiangyun & Yu shi,, 2019. "The threshold effect of market sentiment and inflation expectations on gold price," Resources Policy, Elsevier, vol. 62(C), pages 77-83.
    8. Westerhout, Ed, 2021. "Inflation-Linked Bonds, Nominal Bonds, and Countercyclical Monetary Policies," Discussion Paper 2021-001, Tilburg University, Center for Economic Research.
    9. Alberto Di Iorio & Marco Fanari, 2020. "Break-even inflation rates: the Italian case," Questioni di Economia e Finanza (Occasional Papers) 578, Bank of Italy, Economic Research and International Relations Area.
    10. Yoshibumi Makabe & Yoshihiko Norimasa, 2022. "The Term Structure of Inflation at Risk: A Panel Quantile Regression Approach," Bank of Japan Working Paper Series 22-E-4, Bank of Japan.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jecsur:v:32:y:2018:i:5:p:1326-1354. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0950-0804 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.