Inflation Risk Premia In The Us And The Euro Area
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Inflation Risk Premia In The Us And The Euro Area
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Author : Peter Hördahl
language : en
Publisher:
Release Date : 2010
Inflation Risk Premia In The Us And The Euro Area written by Peter Hördahl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Inflation (Finance) categories.
Inflation Risk Premia In The Euro Area And The United States
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Author : Peter Hördahl
language : en
Publisher:
Release Date : 2017
Inflation Risk Premia In The Euro Area And The United States written by Peter Hördahl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia and inflation expectations in the United States and the euro area. To sharpen our estimation, we include in the information set macro data and survey data on inflation and interest rate expectations at various future horizons, as well as term structure data from both nominal and index-linked bonds.Our results indicate that, over the post-2004 period when index-linked bond markets were sufficiently developed in both monetary areas, inflation risk premia across various maturities had strikingly similar properties in the United States and in the euro area: their dynamics and their levels, especially over the years until mid-2011, have remained quite close to each other, even if premia appear to be subject to somewhat greater high-frequency volatility in the United States.After correcting for liquidity and inflation risk premia, long-term inflation expectations extracted from bond prices have remained remarkably stable at the peak of the financial crisis and throughout the Great Recession. For the United States, we also document a downward shift in the perceived inflation target, from approximately 3 percent until 2011 to levels closer to 2 percent following the FOMC announcement of a numerical long-term inflation goal.
The Inflation Risk Premium In The Term Structure Of Interest Rates
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Author : Peter Hördahl
language : en
Publisher:
Release Date : 2013
The Inflation Risk Premium In The Term Structure Of Interest Rates written by Peter Hördahl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
A dynamic term structure model based on an explicit structural macroeconomic framework is used to estimate inflation risk premia in the United States and the euro area. On average over the past decade, inflation risk premia have been relatively small but positive. They have exhibited an increasing pattern with respect to maturity for the euro area and a flatter one for the United States. Furthermore, the estimates imply that risk premia vary over time, mainly in response to fluctuations in economic growth and inflation.
Inflation News And Euro Area Inflation Expectations
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Author : Juan Angel Garcia
language : en
Publisher: International Monetary Fund
Release Date : 2018-07-19
Inflation News And Euro Area Inflation Expectations written by Juan Angel Garcia and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-19 with Business & Economics categories.
Do euro area inflation expectations remain well-anchored? This paper finds that the protracted period of low (and below-target) inflation in the euro area since 2013 has weakened their anchoring. Testing their sensitivity to inflation and macroeconomic news, this paper expands existing results in two key dimensions. First, by analyzing all available (advanced) inflation releases. Second, the reactions of expectations are investigated at daily, time-varying and intraday frequency regressions to add robustness to our conclusions. Results point to a significant impact of inflation news over recent years that had not been observed before in the euro area.
Inflation Risk Premia In The Term Structure Of Interest Rates
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Author : Peter Hördahl
language : en
Publisher:
Release Date : 2007
Inflation Risk Premia In The Term Structure Of Interest Rates written by Peter Hördahl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Banks and banking, Central categories.
"This paper estimates the size and dynamics of inflation risk premia in the euro area, based on a joint model of macroeconomic and term structure dynamics. Information from both nominal and index-linked yields is used in the empirical analysis. Our results indicate that term premia in the euro area yield curve reflect predominantly real risks, i.e. risks which affect the returns on both nominal and index-linked bonds. On average, inflation risk premia were negligible during the EMU period but occasionally subject to statistically significant fluctuations in 2004-2006. Movements in the raw break-even rate appear to have mostly reflected such variations in inflation risk premia, while long-term inflation expectations have remained remarkably anchored from 1999 to date." - - Abstract.
Inflation Expectations
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Author : Peter J. N. Sinclair
language : en
Publisher: Routledge
Release Date : 2009-12-16
Inflation Expectations written by Peter J. N. Sinclair and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-12-16 with Business & Economics categories.
Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Inflation Risks And Inflation Risk Premia
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Author : Juan Angel García
language : en
Publisher:
Release Date : 2010
Inflation Risks And Inflation Risk Premia written by Juan Angel García and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
The Ecb And The Bond Market
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Author : Carlo A. Favero
language : en
Publisher:
Release Date : 2008
The Ecb And The Bond Market written by Carlo A. Favero and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Inflation Risk Premia In The Term Structure Of Interest Rates
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Author : Peter Hördahl
language : en
Publisher:
Release Date : 2013
Inflation Risk Premia In The Term Structure Of Interest Rates written by Peter Hördahl and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This paper estimates the size and dynamics of inflation risk premia in the euro area, based on a joint model of macroeconomic and term structure dynamics. Information from both nominal and index-linked yields is used in the empirical analysis. Our results indicate that term premia in the euro area yield curve reflect predominantly real risks, i.e. risks which affect the returns on both nominal and index-linked bonds. On average, inflation risk premia were negligible during the EMU period but occasionally subject to statistically signifcant fluctuations in 2004-2006. Movements in the raw break-even rate appear to have mostly reflected such variations in inflation risk premia, while long-term inflation expectations have remained remarkably anchored from 1999 to date.
The World Price Of Inflation Risk
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Author : G. A. Moerman
language : en
Publisher:
Release Date : 2005
The World Price Of Inflation Risk written by G. A. Moerman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
We show that inflation risk is priced in international asset returns. We analyze the price of inflation risk in a framework that includes the International Capital Asset Pricing Model (ICAPM) as a special case. In contrast to the literature, we relax the assumption that inflation rates are constant. We estimate and test a conditional version of the model for the G5 countries (France, Germany, Japan, the U.K., and the U.S.) over the period 1975-2003. We find evidence of statistically significant prices of inflation risk (in addition to priced nominal exchange rate risk). We demonstrate that inflation risk premia are an economically important component of international asset returns. Our results can be interpreted as a rejection of the ICAPM. Moreover, we show that even after the termination of nominal exchange rate fluctuations in the euro area after 1999, differences in inflation rates across countries entail non-trivial real exchange rate risk premia.