The Term Structure of Euro Area Break-even Inflation Rates
Author | : Jacob Ejsing |
Publisher | : |
Total Pages | : 41 |
Release | : 2007 |
ISBN-10 | : OCLC:642583688 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book The Term Structure of Euro Area Break-even Inflation Rates written by Jacob Ejsing and published by . This book was released on 2007 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a toolkit for extracting accurate information about inflation expectations using inflation-linked bonds. First, we show how to estimate term structures of zero-coupon real rates and break-even inflation rates (BEIRs) in the euro area. This improves the analysis of developments in inflation expectations by providing constant maturity measures. Second, we show that seasonality in consumer prices introduces misleading and quantitatively important time varying distortions in the calculated BEIRs. We explain how to correct for this in the estimation of the term structure, and thus provide a unified framework for extracting constant maturity BEIRs corrected for seasonality.