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The Rocky Ride of Break-even-inflation rates

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Author Info
Cette, G.
De Jong, M.

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Abstract

The correlation matrix between break-even inflation rate movements and real interest rate movements across several countries shows puzzling features. Correlation is significantly positive for nearly all cross-border pairs whereas it is nil, positive or negative unsystematically within countries. By means of a correlation matrix decomposition, we provide an explanation for this puzzle.

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File URL: http://www.banque-france.fr/gb/publications/telechar/ner/ner230.pdf
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Publisher Info
Paper provided by Banque de France in its series Documents de Travail with number 230.

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Length: 9 pages
Date of creation: 2009
Date of revision:
Handle: RePEc:bfr:banfra:230

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Postal: Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS
Web page: http://www.banque-france.fr/
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Related research
Keywords: Inflation-linked bonds ; Break-even inflation rates;

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Find related papers by JEL classification:
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Martin D. D. Evans, 1998. "Real Rates, Expected Inflation, and Inflation Risk Premia," Journal of Finance, American Finance Association, vol. 53(1), pages 187-218, 02. [Downloadable!] (restricted)
  2. Christensen, Ian & Frédéric Dion & Christopher Reid, 2004. "Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate," Working Papers 04-43, Bank of Canada. [Downloadable!]
  3. William R. Emmons, 2000. "The information content of Treasury inflation-indexed securities," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 25-38. [Downloadable!]
  4. Agathe Côté & Jocelyn Jacob & John Nelmes & Miles Whittingham, 1996. "Inflation expectations and Real Return Bonds," Bank of Canada Review, Bank of Canada, vol. 1996(Summer), pages 41-53. [Downloadable!]
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This page was last updated on 2009-11-24.

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