ESTIMATING INFLATION RISK PREMIA USING INFLATION‐LINKED BONDS: A REVIEW. (26th March 2018)

• Record Type: Journal Article
• Authors: Kupfer, Alexander
• Editors: Claus, Iris; Krippner, Leo
• Is Part Of: Journal of economic surveys. Volume 32:Number 5(2018)
• Page Start: 1326
• Page End: 1354
• Publication Date: 2018-03-26
• Subjects: Break‐even inflation rate -- Inflation risk premium -- Inflation‐linked bonds -- Treasury inflation‐protected securities; Economics -- Periodicals; 330
• DOI: 10.1111/joes.12265
• Languages: English
• ISSNs: 0950-0804

Abstract

Abstract: This paper provides an overview of studies that estimate the inflation risk premium using inflation‐linked bond (ILB) yields. I categorize existing studies, outline their research designs and compare their estimates for the inflation risk premium. Furthermore, the importance of accounting for ILB illiquidity and an overview of existing ILB liquidity proxies are demonstrated. A discussion of current literature developments, such as the zero lower bound, and an outline for future research directions conclude the paper.