文章基本信息

标题：Inflation risks and inflation risk premia
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作者：Juan Angel García ; Thomas Werner
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：2010
出版社：European Central Bank
摘要：This paper investigates the link between the perceived ination risks in macro- economic forecasts and the ination risk premia embodied in nancial instruments. We rst provide some stylized facts about the term structure of ination compensa- tion, ination expectations and ination risk premia in the euro area bond market. Latent factor models like ours t data well, but are often critisized for lacking eco- nomic interpretation. Using survey ination risks, we show that perceived asym- metries in ination risks help interpret the dynamics of long-term ination risk premia, even after controlling for a large number of macro and nancial factors.
关键词：A¢ ne term structure models; state-space modelling; ination compensation; ination risk;premia; ination risks