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Inflation Risk Premia and Survey Evidence onMacroeconomic Uncertainty

Nominal and real U.S. interest rates (1997–2007) are combined with inflationexpectations from the Survey of Professional Forecasters to calculate time series ofrisk 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 inthese risk premia.
Year of publication:
2008-06-19
Authors: Söderlind, Paul
Institutions: Finrisk
Subject: Liquidität | Inflation | Prämie
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  • 1 Introduction
  • 2 The Fisher Equation
  • 3 Data and Relation to the Fisher Equation
  • 4 Empirical Results
  • 4.1 Explaining the Observed Risk Premium with the Nominal Liquidity Premium
  • 4.2 Adding Proxies for Macroeconomic Uncertainty (and Disagreement)
  • 5 Concluding Remarks
  • References
Persistent link: https://www.econbiz.de/10005868921
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