Extracting Inflation Expectations and Inflation Risk Premia from the Term Structure: A Joint Model of the UK Nominal and Real Yield Curves

2009 ◽  
Author(s):  
Michael Joyce ◽  
Peter M. Lildholdt ◽  
Steffen Sorensen
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Joint Model ◽  
Inflation Expectations ◽  
Yield Curves ◽  
Inflation Risk ◽  
Inflation Risk Premia ◽  
The Uk

scholarly journals Inflation Risk Premia, Yield Volatility, and Macro Factors

2018 ◽  
Vol 17 (3) ◽  
pp. 397-431 ◽  
Author(s):  
Andrea Berardi ◽  
Alberto Plazzi
Keyword(s):  
Term Structure ◽  
Risk Premium ◽  
Implied Volatility ◽  
Risk Premia ◽  
Output Growth ◽  
Inflation Risk ◽  
Variance Risk Premium ◽  
Real Risk ◽  
Variance Risk ◽  
Inflation Risk Premia

Abstract We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term structure of nominal and real rates. We estimate the model over 1999–2016 on U.S. data for nominal and TIPS yields, the realized and implied volatility of T-bonds, and survey forecasts of GDP growth and inflation. We find relatively stable inflation risk premia averaging at 40 basis points at the long-end, and which are strongly related to the volatility factor and conditional mean of output growth. We also document real risk premia that turn negative in the post-crisis period, and a non-negligible variance risk premium.

Sign in / Sign up

Export Citation Format

Share Document