Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty

Paul Söderlind

Issue
2009-04

Pages
28

JEL classification
E27, E47

Keywords
break-even inflation, liquidity premium, Survey of Professional Forecasters

Year
2009

Nominal and real U.S. interest rates (1997Q1-2008Q2) are combined with inflation expectations from the Survey of Professional Forecasters to calculate time series of 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.