文章基本信息

标题：What drives euro area break-even inflation rates?
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作者：Matteo Ciccarelli ; Juan Angel García
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2009
卷号：1
出版社：European Central Bank
摘要：The yield spread between nominal and ination-linked bonds (or break-even ina- tion rates, BEIR) is a fundamental indicator of ination expectations (and associated premia). This paper investigates which macroeconomic and nancial variables ex- plain BEIRs. We evaluate a large number of potential explanatory variables through Bayesian model selection techniques and document their explanatory power at di¤er- ent horizons. At short horizons, actual ination dynamics is the main determinant of BEIRs. At long horizons, nancial variables (i.e. term spread, bond market volatility) become increasingly relevant, but condence and cyclical indicators remain important.
关键词：break-even ination rates; ination risk premia; business cycle indicators;Bayesian model selection