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- W1808122103 abstract "We provide a critical assessment of the method used by the Cleveland Fed to correct expected inflation derived from index-linked bonds for liquidity and inflation risk premia and show how their method can be adapted to account for time-varying inflation risk premia. Furthermore, we show how sensitive the Cleveland Fed approach is to different measures of the liquidity premium. In addition we propose an alternative approach to decompose the bias in inflation expectations derived from index-linked bonds using a state-space estimation. Our results show that once one accounts for time-varying liquidity and inflation risk premia current 10-year U.S. inflation expectations are lower than estimated by the Cleveland Fed." @default.
- W1808122103 created "2016-06-24" @default.
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- W1808122103 date "2008-07-10" @default.
- W1808122103 modified "2023-09-27" @default.
- W1808122103 title "Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia" @default.
- W1808122103 hasPublicationYear "2008" @default.
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