Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty
Nominal and real U.S. interest rates (1997Q1-2008Q2) are combined with inflation expectations from the Survey of Professional Forecasters to calculate time series of 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.
|Date of creation:||2009|
|Date of revision:|
|Contact details of provider:|| Postal: Börsenstrasse 15, P. O. Box, CH - 8022 Zürich|
Phone: +41 44 631 31 11
Fax: +41 44 631 39 11
Web page: http://www.snb.ch/en/ifor/research/
More information through EDIRC
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.:
- Giordani, Paolo & Soderlind, Paul, 2000.
"Inflation Forecast Uncertainty,"
SSE/EFI Working Paper Series in Economics and Finance
384, Stockholm School of Economics, revised 09 Oct 2000.
- Meredith J. Beechey & Benjamin K. Johannsen & Andrew T. Levin, 2008.
"Are long-run inflation expectations anchored more firmly in the Euro area than in the United States?,"
Finance and Economics Discussion Series
2008-23, Board of Governors of the Federal Reserve System (U.S.).
- Meredith J. Beechey & Benjamin K. Johannsen & Andrew T. Levin, 2011. "Are Long-Run Inflation Expectations Anchored More Firmly in the Euro Area Than in the United States?," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 104-29, April.
- Beechey, Meredith J & Johannsen, Benjamin K & Levin, Andrew, 2007. "Are Long-Run Inflation Expectations Anchored More Firmly in the Euro Area than in the United States?," CEPR Discussion Papers 6536, C.E.P.R. Discussion Papers.
- Joyce, Michael & Lildholdt, Peter & Sorensen, Steffen, 2009.
"Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves,"
Bank of England working papers
360, Bank of England.
- Joyce, Michael A.S. & Lildholdt, Peter & Sorensen, Steffen, 2010. "Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 281-294, February.
- Kajuth, Florian & Watzka, Sebastian, 2011.
"Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia,"
Munich Reprints in Economics
19535, University of Munich, Department of Economics.
- Kajuth, Florian & Watzka, Sebastian, 2011. "Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(3), pages 225-235, June.
- Kajuth, Florian & Watzka, Sebastian, 2008. "Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia," Discussion Papers in Economics 4858, University of Munich, Department of Economics.
- Refet S Gürkaynak & Andrew Levin & Eric Swanson, 2010. "Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from the U.S., UK, and Sweden," Journal of the European Economic Association, MIT Press, vol. 8(6), pages 1208-1242, December.
- Charles T. Carlstrom & Timothy S. Fuerst, 2004. "Expected inflation and TIPS," Economic Commentary, Federal Reserve Bank of Cleveland, issue Nov.
- Gianna Boero & Jeremy Smith & KennethF. Wallis, 2008.
"Uncertainty and Disagreement in Economic Prediction: The Bank of England Survey of External Forecasters,"
Royal Economic Society, vol. 118(530), pages 1107-1127, 07.
- Boero,Gianna & Smith,Jeremy & Wallis,Kenneth F, 2006. "Uncertainty and disagreement in economic prediction : the Bank of England Survey of External Forecasters," The Warwick Economics Research Paper Series (TWERPS) 811, University of Warwick, Department of Economics.
- Lahiri, Kajal & Teigland, Christie & Zaporowski, Mark, 1988. "Interest Rates and the Subjective Probability Distribution of Inflation Forecasts," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(2), pages 233-48, May.
- Reschreiter, Andreas, 2004. "Conditional funding costs of inflation-indexed and conventional government bonds," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1299-1318, June.
- Alexander David, 2008. "Heterogeneous Beliefs, Speculation, and the Equity Premium," Journal of Finance, American Finance Association, vol. 63(1), pages 41-83, 02.
- Pu Shen, 2006. "Liquidity risk premia and breakeven inflation rates," Economic Review, Federal Reserve Bank of Kansas City, issue Q II, pages 29-54.
- Dean Croushore, 1993. "Introducing: the survey of professional forecasters," Business Review, Federal Reserve Bank of Philadelphia, issue Nov, pages 3-15.
- Evan W. Anderson & Eric Ghysels & Jennifer L. Juergens, 2005. "Do Heterogeneous Beliefs Matter for Asset Pricing?," Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 875-924.
- Olesya V. Grishchenko & Jing-zhi Huang, 2012. "Inflation risk premium: evidence from the TIPS market," Finance and Economics Discussion Series 2012-06, Board of Governors of the Federal Reserve System (U.S.).
When requesting a correction, please mention this item's handle: RePEc:snb:snbwpa:2009-04. 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: (Enzo Rossi)
If references are entirely missing, you can add them using this form.