Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia

We propose a novel method to correct break-even inflation rates derived from index-linked bonds for liquidity and inflation risk premia without resorting to survey based measures. In a state-space framework the difference between break-even inflation rates and unobserved true inflation expectation i...

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Veröffentlicht in:	The Quarterly review of economics and finance 2011-06, Vol.51 (3), p.225-235
Hauptverfasser:	Kajuth, Florian, Watzka, Sebastian
Format:	Artikel
Sprache:	eng
Schlagworte:	Bonds Inflation expectations Inflation expectations Liquidity risk premium Inflation risk premium Treasury inflation-protected securities (TIPS) State-space model Inflation rates Inflation risk premium Liquidity Liquidity risk premium Risk premiums State-space model Studies Treasury inflation-protected securities (TIPS)
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