Inflation Risk Premium

被引：0

作者：

Baz, Jamil ^{[1
]}

Davis, Josh ^{[2
]}

Tsai, Jerry ^{[3
]}

Zhang, Ziqi ^{[3
]}

机构：

[1] PIMCO, Client Solut & Analyt, Newport Beach, CA 92660 USA

[2] PIMCO, Client Analyt, Newport Beach, CA USA

[3] PIMCO, Newport Beach, CA USA

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 2022年 / 48卷 / 05期

关键词：

EXPECTATIONS;

D O I：

10.3905/jpm.2022.1.354

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

A simple consumption-based model implies that the inflation risk premium should be high when inflation and growth are more negatively correlated, and vice versa. The authors calculate two measures of inflation risk premium: One is the difference between breakeven inflation and survey-based inflation expectations, and the other is the correlation between survey-based growth and inflation forecasts. They show that both measures imply a small inflation risk premium in recent years. Furthermore, the two measures tend to be positively correlated with each other.

引用

页码：266 / 275

页数：10

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