文章基本信息

标题：Inflation risk premia in the term structure of interest rates
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作者：Peter Hördahl ; Oreste Tristani
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：2007
卷号：1
出版社：European Central Bank
摘要：This paper estimates the size and dynamics of ination risk premia in the euro area, based on a joint model of macroeconomic and term structure dynamics. Information from both nominal and index-linked yields is used in the empirical analysis. Our results indicate that term premia in the euro area yield curve reect predominantly real risks, i.e. risks which a¤ect the returns on both nominal and index-linked bonds. On average, ination risk premia were negligible during the EMU period but, occasionally, subject to statistically signicant uctuations in 2004-2006. Movements in the raw break-even rate appear to have mostly reected such variations in ination risk premia, while long-term ination expectations have remained remarkably anchored from 1999 to date.
关键词：Term structure of interest rates; ination risk premia; central bank;credibility.