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Opis

This paper derives a measure of inflation compensation from the yields of a Treasury inflation-indexed security and a portfolio of STRIPS that has similar liquidity and duration as the indexed security. This measure can be used as a proxy for inflation expectations if the inflation risk premium is small. The calculated measure suggests that the rate of inflation expected over the next ten years fell from just under 3% in mid-1997 to just under 1 3/4% by early 1999, before rising back to about 2 1/2% by the beginning of 2000. This variation is more extensive than would have been expected from a simple model of inflation dynamics or from a survey measure of long-run inflation expectations.

Szczegóły książki

Kategoria Książki po angielsku Society & social sciences Politics & government

• Pełny tytuł: Finance and Economics Discussion Series
• Podtytuł: Deriving Inflation Expectations from Nominal and Inflation-Indexed Treasury Yields
• Autor: Brian Sack
• Język: Angielski
• Oprawa: Miękka
• Liczba stron: 28
• EAN: 9781288716999
• ISBN: 9781288716999
• ID: 08274857
• Wydawca: Bibliogov
• Waga: 68 g
• Wymiary: 246 × 189 × 2 mm
• Data wydania: 06. February 2013

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