Inflation compensation and inflation expectations in Chile
This paper studies the relationship between inflation compensation and inflation expectations in Chile. First, we use the present discounted value methodology to decompose the difference between the unanticipated return of nominal and inflation-linked bonds into news about expected inflation and premiums. Second, we use a general equilibrium asset-pricing model to estimate a time-varying inflation risk premium. Our results show that inflation-expectations movements account for about only 25% of the relative returns, indicating that premiums are a very important source of changes in inflation compensation. We also show that the estimated inflation risk premium is time-varying but seems to be of negligible size, with average size and volatility very close to zero. l II) could be helpful on this task.
(This abstract was borrowed from another version of this item.)
Volume (Year): XXX (2007)
Issue (Month): 3 (julio-septiembre)
|Contact details of provider:|| Postal: Durango 54, Col. Roma, México D. F., 06700|
Phone: 52 (55) 5061 6680
Web page: http://www.cemla.org
More information through EDIRC
|Order Information:|| Web: http://www.cemla.org Email: |
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.:
- Lucas, Robert E, Jr, 1980. "Equilibrium in a Pure Currency Economy," Economic Inquiry, Western Economic Association International, vol. 18(2), pages 203-20, April.
- Geert Bekaert & Min Wei & Yuhang Xing, 2002.
"Uncovered Interest Rate Parity and the Term Structure,"
NBER Working Papers
8795, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Wei, Min & Xing, Yuhang, 2007. "Uncovered interest rate parity and the term structure," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 1038-1069, October.
When requesting a correction, please mention this item's handle: RePEc:cml:moneta:v:xxx:y:2007:i:3:p:305-329. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ana Laura Sibaja-Jiménez)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.