What Drives Euro Area Break-Even Inflation Rates?

IF 2.2 3区经济学 Q2 BUSINESS, FINANCE

European Journal of Finance Pub Date : 2009-01-27 DOI:10.2139/ssrn.1316216

Matteo Ciccarelli, Juan A. Garcia

引用次数: 68

Abstract

The yield spread between nominal and inflation-linked bonds (or break-even inflation rates, BEIR) is a fundamental indicator of inflation expectations (and associated premia). This paper investigates which macroeconomic and financial variables explain BEIRs. We evaluate a large number of potential explanatory variables through Bayesian model selection techniques and document their explanatory power at different horizons. At short horizons, actual inflation dynamics is the main determinant of BEIRs. At long horizons, financial variables (i.e. term spread, bond market volatility) become increasingly relevant, but confidence and cyclical indicators remain important. JEL Classification: C11, C52, E31

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是什么推动了欧元区的盈亏平衡通胀率?

名义与通胀挂钩债券之间的收益率差(或盈亏平衡通胀率，BEIR)是通胀预期(及相关溢价)的基本指标。本文研究了哪些宏观经济变量和金融变量可以解释beir。我们通过贝叶斯模型选择技术评估了大量潜在的解释变量，并记录了它们在不同视界的解释力。从短期来看，实际通胀动态是beir的主要决定因素。从长远来看，金融变量(如期限价差、债券市场波动性)变得越来越重要，但信心和周期性指标仍然很重要。JEL分类:C11, C52, E31

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

European Journal of Finance BUSINESS, FINANCE-

CiteScore

5.40

自引率

8.00%

发文量

期刊介绍： The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.