Template-type: ReDIF-Paper 1.0
Author-Name: Paul Söderlind
Author-Name-First: Paul
Author-Name-Last: Söderlind
Author-Person: pso16
Title: Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty
Abstract: 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.
Length: 28 pages
Creation-Date: 2009
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2009/working_paper_2009_04
File-Format: text/html
Number: 2009-04
Classification-JEL: E27, E47
Keywords: break-even inflation, liquidity premium, Survey of Professional Forecasters
Handle: RePEc:snb:snbwpa:2009-04