Boeckx, Jef
[National Bank of Belgium]
Iania, Leonardo
[UCL]
Wauters, Joris
[National Bank of Belgium]
We propose a new model to decompose inflation swaps into genuine inflation expectations and risk premiums. We develop a no-arbitrage term structure model with stochastic endpoints, separating macroeconomic variables into transitory parts and long-run, economically-grounded, determinants, such as the equilibrium real interest rate and the inflation target. Our estimations deliver new insights as to how macroeconomic variables affect market-based inflation expectation measures.
Bibliographic reference |
Boeckx, Jef ; Iania, Leonardo ; Wauters, Joris. Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia. LIDAM Discussion Paper LFIN ; 2023/03 (2023) 41 pages |
Permanent URL |
http://hdl.handle.net/2078.1/275780 |