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The inflation risk premium in the term structure of interest rates

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  1. repec:fgv:epgrbe:v:67:n:2:a:6 is not listed on IDEAS
  2. Zeng, Zheng, 2013. "New tips from TIPS: Identifying inflation expectations and the risk premia of break-even inflation," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 125-139.
  3. Madhusudan Mohanty, 2014. "The transmission of unconventional monetary policy to the emerging markets - An overview," BIS Papers chapters, in: Bank for International Settlements (ed.), The transmission of unconventional monetary policy to the emerging markets, volume 78, pages 1-24, Bank for International Settlements.
  4. Hisashi Nakamura & Keita Nakayama & Akihiko Takahashi, 2008. "Term Structure of Interest Rates Under Recursive Preferences in Continuous Time," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(3), pages 273-305, December.
  5. Martin Kliem & Alexander Meyer‐Gohde, 2022. "(Un)expected monetary policy shocks and term premia," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 477-499, April.
  6. 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.
  7. Philip Turner, 2013. "Benign neglect of the long-term interest rate," BIS Working Papers 403, Bank for International Settlements.
  8. Ireland, Peter N., 2015. "Monetary policy, bond risk premia, and the economy," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 124-140.
  9. Ravenna, Federico & Seppälä, Juha, 2007. "Monetary policy, expected inflation and inflation risk premia," Research Discussion Papers 18/2007, Bank of Finland.
  10. Daniel L. Tortorice & Arben Kita, 2018. "Can Risk Models Extract Inflation Expectations from Financial Market Data? Evidence from the Inflation Protected Securities of Six Countries," Working Papers 1801, College of the Holy Cross, Department of Economics.
  11. Batten, Jonathan A. & Mo, Di & Pourkhanali, Armin, 2024. "Can inflation predict energy price volatility?," Energy Economics, Elsevier, vol. 129(C).
  12. Dimitris A. Georgoutsos & Petros Migiakis, 2010. "European sovereign bond spreads: monetary unification, market conditions and financial integration," Working Papers 115, Bank of Greece.
  13. Richard Finlay & Sebastian Wende, 2012. "Estimating Inflation Expectations with a Limited Number of Inflation-Indexed Bonds," International Journal of Central Banking, International Journal of Central Banking, vol. 8(2), pages 111-142, June.
  14. Jakob de Haan & David-Jan Jansen & Jakob de Haan, 2007. "The Importance of Being Vigilant: Has ECB Communication Influenced Euro Area Inflation Expectations?," CESifo Working Paper Series 2134, CESifo.
  15. Gilbert Cette & Marielle de Jong, 2013. "Breakeven inflation rates and their puzzling correlation relationships," Applied Economics, Taylor & Francis Journals, vol. 45(18), pages 2579-2585, June.
  16. Michael Hatcher, 2013. "The inflation risk premium on government debt in an overlapping generations model," Working Papers 2013_17, Business School - Economics, University of Glasgow.
  17. Elizondo Rocío, 2023. "The Three Intelligible Factors of the Yield Curve in Mexico," Working Papers 2023-13, Banco de México.
  18. Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2013. "Macro-expectations, aggregate uncertainty, and expected term premia," European Economic Review, Elsevier, vol. 58(C), pages 58-80.
  19. Martin Ellison & Andreas Tischbirek, 2021. "Beauty Contests and the Term Structure [Risk Premia and Term Premia in General Equilibrium]," Journal of the European Economic Association, European Economic Association, vol. 19(4), pages 2234-2282.
  20. Kanas, Angelos, 2014. "Bond futures, inflation-indexed bonds, and inflation risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 82-99.
  21. 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.
  22. D’Amico, Stefania & Kim, Don H. & Wei, Min, 2018. "Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(1), pages 395-436, February.
  23. Boris Cournède & Diego Moccero, 2009. "Is there a Case for Price-level Targeting?," OECD Economics Department Working Papers 721, OECD Publishing.
  24. Tobias Adrian & Hao Wu, 2009. "The term structure of inflation expectations," Staff Reports 362, Federal Reserve Bank of New York.
  25. Yüksel, Ebru & Metin-Ozcan, Kivilcim & Hatipoglu, Ozan, 2013. "A survey on time-varying parameter Taylor rule: A model modified with interest rate pass-through," Economic Systems, Elsevier, vol. 37(1), pages 122-134.
  26. Masazumi Hattori & Andreas Schrimpf & Vladyslav Sushko, 2016. "The Response of Tail Risk Perceptions to Unconventional Monetary Policy," American Economic Journal: Macroeconomics, American Economic Association, vol. 8(2), pages 111-136, April.
  27. Daniela Kubudi & José Valentim Vicente, 2016. "A Joint Model of Nominal and Real Yield Curves," Working Papers Series 452, Central Bank of Brazil, Research Department.
  28. Berardi, Andrea & Plazzi, Alberto, 2022. "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, vol. 134(C).
  29. Tosapol Apaitan, 2015. "Extracting Market Inflation Expectations: A Semi-structural Macro-finance Term Structure Model," PIER Discussion Papers 4., Puey Ungphakorn Institute for Economic Research, revised Sep 2015.
  30. Céline Poilly & Fabien Tripier, 2023. "Regional Trade Policy Uncertainty," Working Papers hal-04239322, HAL.
  31. Covarrubias, Enrique & Hernández-del-Valle, Gerardo, 2016. "Inflation expectations derived from a portfolio model," MPRA Paper 69489, University Library of Munich, Germany.
  32. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2010. "Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(s1), pages 143-178, September.
  33. Lemke, Wolfgang, 2008. "An affine macro-finance term structure model for the euro area," The North American Journal of Economics and Finance, Elsevier, vol. 19(1), pages 41-69, March.
  34. Gilbert Cette & Marielle de Jong, 2013. "Market-implied inflation and growth rates adversely affected by the Brent," Journal of Asset Management, Palgrave Macmillan, vol. 14(3), pages 133-139, June.
  35. Benaković Dubravka & Posedel Petra, 2010. "Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market," Business Systems Research, Sciendo, vol. 1(1-2), pages 39-46, January.
  36. Tristani, Oreste & Hördahl, Peter, 2010. "Inflation risk premia in the US and the euro area," Working Paper Series 1270, European Central Bank.
  37. Marco Casiraghi & Marcello Miccoli, 2015. "Risk-adjusted expectations of inflation," Questioni di Economia e Finanza (Occasional Papers) 286, Bank of Italy, Economic Research and International Relations Area.
  38. Winkelmann, Lars & Netsunajev, Aleksei, 2015. "International Transmissions of Inflation Expectations in a Markov Switching Structural VAR Model," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112900, Verein für Socialpolitik / German Economic Association.
  39. Vicente, José Valentim Machado & Guillen, Osmani Teixeira de Carvalho, 2013. "Do inflation-linked bonds contain information about future inflation?," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(2), June.
  40. Ravenna, Federico & Seppälä, Juha, 2007. "Monetary policy, expected inflation and inflation risk premia," Bank of Finland Research Discussion Papers 18/2007, Bank of Finland.
  41. Claudio Borio & Piti Disyatat, 2011. "Global imbalances and the financial crisis: Link or no link?," BIS Working Papers 346, Bank for International Settlements.
  42. Hatcher, Michael C., 2011. "Comparing inflation and price-level targeting: A comprehensive review of the literature," Cardiff Economics Working Papers E2011/22, Cardiff University, Cardiff Business School, Economics Section.
  43. Stefano Neri & Giuseppe Ferrero, 2017. "Monetary policy in a low interest rate environment," Questioni di Economia e Finanza (Occasional Papers) 392, Bank of Italy, Economic Research and International Relations Area.
  44. Garcí­a, Juan Angel & Werner, Thomas, 2010. "Inflation risks and inflation risk premia," Working Paper Series 1162, European Central Bank.
  45. Tamer Aksoy & Yunus Emre Asan, 2020. "Assessing financial risk management in local governments: Case of Istanbul Metropolitan Municipality (IMM)," International Journal of Business Ecosystem & Strategy (2687-2293), Bussecon International Academy, vol. 2(4), pages 10-23, October.
  46. Andrea Fracasso & Rocco Probo, 2017. "When did inflation expectations in the Euro area de-anchor?," Applied Economics Letters, Taylor & Francis Journals, vol. 24(20), pages 1481-1485, November.
  47. Helder Ferreira de Mendonça & Pedro Mendes Garcia & José Valentim Machado Vicente, 2021. "Rationality and anchoring of inflation expectations: An assessment from survey‐based and market‐based measures," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(6), pages 1027-1053, September.
  48. Roman Horvath & Lorant Kaszab & Ales Marsal, 2022. "Interest rate rules and inflation risks in a macro‐finance model," Scottish Journal of Political Economy, Scottish Economic Society, vol. 69(4), pages 416-440, September.
  49. Tosapol Apaitan, 2015. "Extracting Market Inflation Expectations: A Semi-structural Macro-finance Term Structure Model," PIER Discussion Papers 4, Puey Ungphakorn Institute for Economic Research.
  50. Jose E. Gomez-Gonzalez & Jorge M. Uribe & Oscar M. Valencia, 2023. "Sovereign Risk and Economic Complexity: Machine Learning Insights on Causality and Prediction," IREA Working Papers 202315, University of Barcelona, Research Institute of Applied Economics, revised Nov 2023.
  51. Güler, Mustafa Haluk & Keleş, Gürsu & Polat, Tandoğan, 2017. "An empirical decomposition of the liquidity premium in breakeven inflation rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 185-192.
  52. Arben Kita & Daniel L. Tortorice, 2021. "Arbitrage in International Sovereign Debt Markets? Evidence from the Inflation‐Protected Securities of Six Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(6), pages 1417-1448, September.
  53. repec:zbw:bofrdp:2007_018 is not listed on IDEAS
  54. Piotr Ciżkowicz & Grzegorz Parosa & Andrzej Rzońca, 2022. "Fiscal tensions and risk premium," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 49(3), pages 833-896, August.
  55. Chernov, Mikhail & Mueller, Philippe, 2012. "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
  56. Ivan Jaccard, 2024. "Monetary Asymmetries Without (And With) Price Stickiness," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 65(2), pages 1003-1047, May.
  57. Ciccarelli, Matteo & Osbat, Chiara, 2017. "Low inflation in the euro area: Causes and consequences," Occasional Paper Series 181, European Central Bank.
  58. Alex Hsu & Erica X. N. Li & Francisco Palomino, 2021. "Real and Nominal Equilibrium Yield Curves," Management Science, INFORMS, vol. 67(2), pages 1138-1158, February.
  59. Andrea Berardi, 2013. "Inflation Risk Premia, Yield Volatility and Macro Factors," Working Papers 27/2013, University of Verona, Department of Economics.
  60. Gabriele Galati & Peter Heemeijer & Richhild Moessner, 2011. "How do inflation expectations form? New insights from a high-frequency survey," BIS Working Papers 349, Bank for International Settlements.
  61. José Valentim Machado Vicente, 2021. "A Non-Knotty Inflation Risk Premium Model," Working Papers Series 543, Central Bank of Brazil, Research Department.
  62. Aguilar-Argaez Ana María & Elizondo Rocío & Roldán-Peña Jessica, 2016. "Break-Even-Inflation's Decomposition in Mexico," Working Papers 2016-22, Banco de México.
  63. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.
  64. Ignacio Lozano-Espitia & Fernando Arias-Rodríguez, 2022. "The Relationship between Fiscal and Monetary Policies in Colombia: An Empirical Exploration of the Credit Risk Channel," Borradores de Economia 1196, Banco de la Republica de Colombia.
  65. Gomez-Gonzalez, Jose E. & Uribe, Jorge M. & Valencia, Oscar, 2024. "Sovereign Risk and Economic Complexity," IDB Publications (Working Papers) 13393, Inter-American Development Bank.
  66. Gabriele Galati & Peter Heemeijer & Richhild Moessner, 2011. "How do inflation expectations form? New insights from a high-frequency survey," BIS Working Papers 349, Bank for International Settlements.
  67. Camba-Méndez, Gonzalo, 2020. "On the inflation risks embedded in sovereign bond yields," Working Paper Series 2423, European Central Bank.
  68. Iryna Kaminska & Andrew Meldrum & James Smith, 2013. "A Global Model Of International Yield Curves: No‐Arbitrage Term Structure Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 18(4), pages 352-374, October.
  69. Bodo Herzog, 2015. "Anchoring of expectations: The role of credible targets in a game experiment," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 3(6), pages 1-15, December.
  70. Pedro Pires Ribeiro & José Dias Curto, 2018. "How do zero-coupon inflation swaps predict inflation rates in the euro area? Evidence of efficiency and accuracy on 1-year contracts," Empirical Economics, Springer, vol. 54(4), pages 1451-1475, June.
  71. Teplova, Tamara V. & Rodina, Victoria A., 2021. "The reinvestment risk premium in the valuation of British and Russian government bonds," Research in International Business and Finance, Elsevier, vol. 55(C).
  72. repec:dau:papers:123456789/7741 is not listed on IDEAS
  73. Marielle de Jong & Gilbert Cette, 2008. "The rocky ride of break-even inflation rates," Economics Bulletin, AccessEcon, vol. 5(31), pages 1-8.
  74. Kei Imakubo & Jouchi Nakajima, 2015. "Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model," Bank of Japan Working Paper Series 15-E-1, Bank of Japan.
  75. Grishchenko, Olesya V., 2011. "Asset pricing in the production economy subject to monetary shocks," Journal of Economics and Business, Elsevier, vol. 63(3), pages 187-216, May.
  76. Nautz, Dieter & Pagenhardt, Laura & Strohsal, Till, 2017. "The (de-)anchoring of inflation expectations: New evidence from the euro area," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 103-115.
  77. Argyropoulos, Efthymios & Tzavalis, Elias, 2021. "The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 785-796.
  78. Lozano-Espitia, Ignacio & Arias-Rodríguez, Fernando, 2022. "The Relationship between Fiscal and Monetary Policies in Colombia: An Empirical Exploration of the Credit Channel," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 3(4).
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