English, Article, Journal or magazine article edition: The Rocky Ride of Break-even-inflation rates. Cette, G.; De Jong, M.

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Bookmark: http://trove.nla.gov.au/version/147946
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Rocky Ride of Break-even-inflation rates.
Author
  • Cette, G.
  • De Jong, M.
Physical Description
  • preprint
Notes
  • The correlation matrix between break-even inflation rate movements and real interest rate movements across several countries shows puzzling features. Correlation is significantly positive for nearly all cross-border pairs whereas it is nil, positive or negative unsystematically within countries. By means of a correlation matrix decomposition, we provide an explanation for this puzzle.
  • Inflation-linked bonds ; Break-even inflation rates
  • RePEc:bfr:banfra:230
Language
  • English
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