2018-04 Kupfer Abstract Weichzeichner

New publication! "Estimating Inflation Risk Premia Using Inflation-linked Bonds: A Review"

The new paper by Alexander Kupfer provides an overview of studies that estimate the inflation risk premium using inflation‐linked bond (ILB) yields. He categorizes existing studies, outlines their research designs and compares their estimates for the inflation risk premium.

Furthermore, the importance of accounting for ILB illiquidity and an overview of existing ILB liquidity proxies are demonstrated. A discussion of current literature developments, such as the zero lower bound, and an outline for future research directions conclude the paper.

The paper has been published in the Journal of Economic Surveys and can be downloaded for free from the publisher's homepage  .

Kupfer, Alexander (2018): Estimating Inflation Risk Premia Using Inflation-Linked Bonds: A Review. Journal of Economic Surveys. Forthcoming, pp. 1–29. DOI: 10.1111/joes.12265   (open access).

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