Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty
Riassunto
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.
- Issue:
- 04
- Pages:
- 28
- JEL classification:
- E27, E47
- Keywords:
- break-even inflation, liquidity premium, Survey of Professional Forecasters
- Year:
- 2009