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Title: Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty

Author(s): Paul Söderlind

Publication Date: April 2009

Keyword(s): break-even inflation, liquidity premium and Survey of Professional Forecasters

Programme Area(s): International Macroeconomics

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.

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Bibliographic Reference

Söderlind, P. 2009. 'Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=7250