Essays about: "break-even inflation"

Found 2 essays containing the words break-even inflation.

  1. 1. Empirical Risk Decomposition of Break-even Inflation

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Jonas Gustavsson; Patrik Paluch; [2014]
    Keywords : TIPS; Break-even inflation; Term structure; Liquidity; Inflation;

    Abstract : Using principal component analysis, we find that there are three principal components that can explain almost all of the variation in the 5-20 year maturities of break-even inflation, defined as the spread between nominal Treasury and TIPS yields. The three principal components correspond to the factors regularly used in the empirical literature to describe the term structure of interest rates, namely, level, slope and curvature. READ MORE

  3. 2. Inflation Expectations: Comparing the Predictive Power of Break-Even Inflation and Survey Expectations

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Mikael Hesselvall; Olof Fredricson Thelander; [2008]
    Keywords : break-even inflation; inflation; real bond; survey measure;

    Abstract : This thesis compares the predictive power of different measures of expected inflation on actual inflation. In particular, we are analyzing whether brake-even inflation (BEI), i.e. the yield spread between real and nominal bonds, could be a more accurate estimate of future inflation than expectations derived from surveys. READ MORE