Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty
AbstractNominal 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.
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Bibliographic InfoPaper provided by Department of Economics, University of St. Gallen in its series University of St. Gallen Department of Economics working paper series 2008 with number 2008-12.
Length: 22 pages
Date of creation: Jun 2008
Date of revision:
break-even inflation; liquidity premium; Survey of Professional Forecasters;
Other versions of this item:
- Paul Söderlind, 2011. "Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty," International Journal of Central Banking, International Journal of Central Banking, vol. 7(2), pages 113-133, June.
- Paul Söderlind, 2009. "Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty," Working Papers 2009-04, Swiss National Bank.
- Söderlind, Paul, 2009. "Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty," CEPR Discussion Papers 7250, C.E.P.R. Discussion Papers.
- E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-06-27 (All new papers)
- NEP-CBA-2008-06-27 (Central Banking)
- NEP-MAC-2008-06-27 (Macroeconomics)
- NEP-MON-2008-06-27 (Monetary Economics)
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