Estimating inflation compensation for Turkey using yield curves
Inflation compensation derived from nominal and real bond yields contains market based, real time information regarding the inflation expectations and the pricing of inflation risks. In this study, we calculate inflation compensation for Turkey by using nominal and real yield curves. The findings of event study analysis on inflation compensation indicate that changes in the term structure of inflation compensation contain information regarding the credibility of monetary authority. Moreover, we find that, at daily frequency, liquidity conditions have no significant effect on inflation compensation and hence the effects of events such as monetary policy decisions and inflation surprises on inflation compensation can be attributed mainly to changes in inflation expectations and pricing of inflation uncertainty.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
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.:
- N. Gregory Mankiw & Ricardo Augusto Marc Rocha Reis & Justin Wolfers, 2004.
"Disagreement about Inflation Expectations,"
Yale School of Management Working Papers
ysm391, Yale School of Management.
- Mankiw, N. Gregory & Reis, Ricardo & Wolfers, Justin, 2003. "Disagreement about Inflation Expectations," Research Papers 1807, Stanford University, Graduate School of Business.
- N. Gregory Mankiw & Ricardo Reis & Justin Wolfers, 2003. "Disagreement about Inflation Expectations," NBER Working Papers 9796, National Bureau of Economic Research, Inc.
- N. Gregory Mankiw & Ricardo Reis & Justin Wolfers, 2003. "Disagreement about Inflation Expectations," Harvard Institute of Economic Research Working Papers 2011, Harvard - Institute of Economic Research.
- Refet S. Gürkaynak & Brian P. Sack & Jonathan H. Wright, 2008.
"The TIPS yield curve and inflation compensation,"
Finance and Economics Discussion Series
2008-05, Board of Governors of the Federal Reserve System (U.S.).
- Markus Jochmann & Gary Koop & Simon M. Potter, 2009.
"Modeling the Dynamics of Inflation Compensation,"
Working Paper Series
15_09, The Rimini Centre for Economic Analysis.
- Bank for International Settlements, 2005. "Zero-coupon yield curves: technical documentation," BIS Papers, Bank for International Settlements, number 25.
- Pu Shen, 2006. "Liquidity risk premia and breakeven inflation rates," Economic Review, Federal Reserve Bank of Kansas City, issue Q II, pages 29-54.
- Rose Cunningham & Brigitte Desroches & Eric Santor, 2010. "Inflation Expectations and the Conduct of Monetary Policy: A Review of Recent Evidence and Experience," Bank of Canada Review, Bank of Canada, vol. 2010(Spring), pages 13-25.
- Ozge Akinci & Burcu Gurcihan & Refet Gurkaynak & Ozgur Ozel, 2006.
"Devlet Ic Borclanma Senetleri Icin Getiri Egrisi Tahmini,"
0608, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Özge AKINCI & Burcu GÜRCİHAN & Refet GÜRKAYNAK & Özgür ÖZEL, 2007. "Devlet iç borçlanma senetleri için getiri eğrisi tahmini," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 22(252), pages 5-25.
- Stefania D'Amico & Don H. Kim & Min Wei, 2008.
"Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices,"
Finance and Economics Discussion Series
2008-30, Board of Governors of the Federal Reserve System (U.S.).
- Stefania D'Amico & Don H. Kim & Min Wei, 2010. "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," Finance and Economics Discussion Series 2010-19, Board of Governors of the Federal Reserve System (U.S.).
- Stefania D'Amico & Don H Kim & Min Wei, 2008. "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," BIS Working Papers 248, Bank for International Settlements.
- D'Amico, Stefania & Kim, Don H. & Wei, Min, 2014. "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," Finance and Economics Discussion Series 2014-24, Board of Governors of the Federal Reserve System (U.S.), revised 19 Feb 2016.
- Refet S. Gürkaynak & Brian Sack & Eric Swanson, 2005. "The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models," American Economic Review, American Economic Association, vol. 95(1), pages 425-436, March.
- Christensen, Ian & Frédéric Dion & Christopher Reid, 2004. "Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate," Staff Working Papers 04-43, Bank of Canada.
When requesting a correction, please mention this item's handle: RePEc:eee:ecmode:v:32:y:2013:i:c:p:592-601. 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: (Shamier, Wendy)
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.