English, Article, Journal or magazine article edition: Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty Soderlind, Paul

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Bookmark: http://trove.nla.gov.au/version/22663
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty
Author
  • Soderlind, Paul
Physical Description
  • preprint
Notes
  • 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.
  • break-even inflation; liquidity premium; Survey of Professional Forecasters
  • RePEc:ris:snbwpa:2009_004
Language
  • English
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