Download now Free registration required
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. The idea of this paper is very simple. Data on nominal and real (inflation indexed) interest rates is combined with survey data on inflation expectations to construct a quarterly time series of "Total premium" (inflation risk premium plus the difference between nominal and real liquidity premia) for the sample 1997Q1 - 2008Q2.
- Format: PDF
- Size: 262.01 KB