The rocky ride of break-even inflation rates

被引：0

作者：

de Jong, Marielle ^{[1
]}

Cette, Gilbert ^{[2
,3
]}

机构：

[1] Sinopia Asset Management, Guatemala City, Guatemala

[2] Banque France, Paris, France

[3] Univ Mediterrannee, Marseille, France

来源：

ECONOMICS BULLETIN | 2008年 / 5卷

关键词：

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 give an explanation for this puzzle.

引用

页数：8

共 11 条

[1] Christensen Ian., 2004, BANK CANADA WORKING
[2] Cote A, 1996, BANK CANADA REV SUM, P41
[3] Craig B., 2003, WHY ARE TIIS YIELDS
[4] Ejsing J., 2007, EUROPEAN CENTRAL BAN, V830
[5] Emmons W.R., 2000, FEDERAL RESERVE BANK
[6] Real rates, expected inflation, and inflation risk premia
Evans, MDD
[J]. JOURNAL OF FINANCE, 1998, 53 (01) : 187 - 218
[7] Hordahl P., 2007, BIS WORKING PAPERS
[8] Are TIPS the "real" deal?: A conditional assessment of their role in a nominal portfolio
Hunter, DM
Simon, DP
[J]. JOURNAL OF BANKING & FINANCE, 2005, 29 (02) : 347 - 368
[9] Pond M., 2008, EFFECTIVE DURATION L
[10] Shen P., 2006, ECON REV, V83, P29

← 1 2 →