Discussion paper

DP7250 Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty

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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Citation

Söderlind, P (2009), ‘DP7250 Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty‘, CEPR Discussion Paper No. 7250. CEPR Press, Paris & London. https://cepr.org/publications/dp7250