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Market-implied inflation and growth rates adversely affected by the Brent

Author

Listed:
  • Gilbert Cette

    (Centre de recherche de la Banque de France - Banque de France, GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique)

  • Marielle De Jong

Abstract

The inflation and the real yield component deduced from inflation-linked and nominal bond prices are adversely affected by two market effects: price distortions due to certain market-related events and oil price movements. Their underlying time correlation without those effects is stable and positive. Market data analysis carried out on the world's major bond markets gives valuable new insight into the long-debated relationship between inflation and growth prospects. [ABSTRACT FROM AUTHOR]

Suggested Citation

  • Gilbert Cette & Marielle De Jong, 2013. "Market-implied inflation and growth rates adversely affected by the Brent," Post-Print hal-01499631, HAL.
    • Handle: RePEc:hal:journl:hal-01499631
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    References listed on IDEAS

    as
    1. Andrew Ang & Geert Bekaert & Min Wei, 2008. "The Term Structure of Real Rates and Expected Inflation," Journal of Finance, American Finance Association, vol. 63(2), pages 797-849, April.
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    18. Marielle de Jong & Gilbert Cette, 2008. "The rocky ride of break-even inflation rates," Economics Bulletin, AccessEcon, vol. 5(31), pages 1-8.
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    Cited by:

    1. Nicolas Pesci & Jean-Philippe Aguilar & Victor James & Fabien Rouillé, 2022. "Inflation Forecasts and European Asset Returns: A Regime-Switching Approach," JRFM, MDPI, vol. 15(10), pages 1-20, October.
    2. Kazuhiro Hiraki & Wataru Hirata, 2020. "Market-based Long-term Inflation Expectations in Japan: A Refinement on Breakeven Inflation Rates," Bank of Japan Working Paper Series 20-E-5, Bank of Japan.

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    More about this item

    Keywords

    BONDS (Finance) ― Prices; INFLATION (Finance); PETROLEUM products; PRICE level changes; prices; RATE of return;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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