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The authors use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in the United States and the euro area. To sharpen the estimation, they 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. These results show that, in both currency areas, inflation risk premia are relatively small, positive, and increasing in maturity.
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