Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty
Paul Söderlind
Issue
2009-04
Pages
28
JEL classification
E27, E47
Keywords
break-even inflation, liquidity premium, Survey of Professional Forecasters
Year
2009
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.