Inflation Risk Premium: Evidence from the TIPS Market
Inflation-indexed securities would appear to be the most direct source of in- formation about inflation expectations and real interest rates (Bernanke, 2004). In this paper we study the term structure of real interest rates, expected inflation and inflation risk premia using data on prices of Treasury Inflation Protected Securities (TIPS) over the period 2000-2007. The estimates of the 10-year infla- tion risk premium are between 11 and 22 basis points for 2000-2007 depending on the proxy used for the expected inflation. Furthermore, we find that the inflation risk premium is time varying and, specifically, negative in the first half (which might be due to either concerns of deflation or low liquidity of the TIPS market), but positive in the second half of the sample.
TIPS market inflation risk premium expected inflation term structure of real rates
Olesya V. Grishchenko Jing-zhi (Jay) Huang
Smeal College of Business, Penn State University, University Park, PA 16802
国际会议
广州
英文
1-33
2009-07-07（万方平台首次上网日期，不代表论文的发表时间）