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EF, Centralna ekonomska knjižnica, Ljubljana (CEKLJ)
  • Inflation risk premia in the term structure of interest rates
    Hördahl, Peter ; Tristani, Oreste
    This paper estimates the size and dynamics of inflation risk premia in the euro area, based on a joint model of macroeconomic and term structure dynamics. Information from both nominal and ... index-linked yields is used in the empirical analysis. Our results indicate that term premia in the euro area yield curve reflect predominantly real risks, i.e. risks which affect the returns on both nominal and index-linked bonds. On average, inflation risk premia were negligible during the EMU period but occasionally subject to statistically significant fluctuations in 2004-2006. Movements in the raw break-even rate appear to have mostly reflected such variations in inflation risk premia, while long-term inflation expectations have remained remarkably anchored from 1999 to date.
    Vrsta gradiva - knjiga
    Založništvo in izdelava - Basel (Switzerland) : Bank for International Settlements, Monetary and Economic Dept., 2007
    Jezik - angleški
    COBISS.SI-ID - 17635046

    Povezava(-e):

    http://www.bis.org/publ/work228.pdf

Signatura – lokacija, inventarna št. ... Status izvoda
Skladišče II 15142/07 gl. publikacijo
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