Inflation Risk Premium

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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 Risk Premium

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Author : Olesya V. Grishchenko
language : en
Publisher:
Release Date : 2019

Inflation Risk Premium written by Olesya V. Grishchenko and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.

Quot;Inflation-indexed securities would appear to be the most direct source of information about inflation expectations and real interest rates.quot; (Bernanke, 2004). In this paper we study the term structure of real interest rates, expected inflation, and inflation risk premia using data on prices of Treasury Inflation Protected Securities (TIPS) over the period 2000-2007. The estimates of the 10-year inflation risk premium are between 11 and 22 basis points for 2000-2007 depending on the proxy used for the expected inflation. Furthermore, we find that the inflation risk premium is time varying and, specifically, negative in the first half (which might be due to either concerns of deflation or low liquidity of the TIPS market), but positive in the second half of the sample.

Inflation Risk Premium

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Author : Olesya V. Grishchenko
language : en
Publisher:
Release Date : 2012

Inflation Risk Premium written by Olesya V. Grishchenko and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.

An Estimate Of The Inflation Risk Premium Using A Three Factor Affine Term Structure Model

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Author : J. Benson Durham
language : en
Publisher:
Release Date : 2006

An Estimate Of The Inflation Risk Premium Using A Three Factor Affine Term Structure Model written by J. Benson Durham and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Interest rates categories.

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 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.

The Inflation Risk Premium In The Post Lehman Period

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Author :
language : en
Publisher:
Release Date : 2017

The Inflation Risk Premium In The Post Lehman Period written by 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.

Exchange Rate And Foreign Inflation Risk Premiums In Global Equity Returns

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Author : Maria Vassalou
language : en
Publisher:
Release Date : 2000

Exchange Rate And Foreign Inflation Risk Premiums In Global Equity Returns written by Maria Vassalou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Foreign exchange rates categories.

Estimation Of The Inflation Risk Premium

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Author : Pavol Povala
language : en
Publisher:
Release Date : 2007

Estimation Of The Inflation Risk Premium written by Pavol Povala and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.

This master's thesis analyzes the inflation risk premium embodied in the nominal interest rates based on UK government index-linked and nominal securities data in a period of high and volatile inflation, 1985 to 1992, and in a period of low and stable inflation, 1997 to 2007. To recover the inflation risk premium a discrete time term structure model is estimated, using jointly real and nominal yields. Inflation is modeled as an observable factor uncorrelated with latent factors in an affine Gaussian framework. Subsequently, the dynamics of the inflation risk premium and its driving factors are studied in both periods. In the first period, I find the inflation risk premium to be significant most of the time, strongly time-varying and occasionally negative, in the second period the inflation risk premium is only significant at a few points and significantly lower. The variance decomposition of the nominal-to-real yield spread shows that movements in spreads are mostly driven by changes in the inflation risk premium, especially at the long end of the curve.

Inflation Risk Premium Derived From Foreign Exchange Options

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Author : Eddy Azoulay
language : en
Publisher:
Release Date : 2007

Inflation Risk Premium Derived From Foreign Exchange Options written by Eddy Azoulay and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Foreign exchange rates categories.