Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty

Nominal and real U.S. interest rates (1997-2007) are combined with inflation expectations from the Survey of Professional Forecasters to calculate time series of "inflation 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.

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Year of publication:	2008-06
Authors:	Söderlind, Paul
Institutions:	School of Economics and Political Science, Universität St. Gallen
Subject:	break-even inflation \| liquidity premium \| Survey of Professional Forecasters

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Extent:	application/pdf
Series:	University of St. Gallen Department of Economics working paper series 2008.
Type of publication:	Book / Working Paper
Language:	English
Notes:	22 pages
Classification:	E27 - Forecasting and Simulation ; E47 - Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005797682