Discretionary fiscal policy, fiscal credibility and inflation risk premium

2021 ◽  
Author(s):  
Gabriel Caldas Montes ◽  
Natalia Teixeira de Hollanda Lima
Keyword(s):  
Fiscal Policy ◽  
Risk Premium ◽  
Inflation Risk ◽  
Discretionary Fiscal Policy ◽  
Inflation Risk Premium

scholarly journals A New Approach to Gauging Inflation Expectations

2009 ◽  
pp. 1-4
Author(s):  
Joseph G. Haubrich
Keyword(s):  
Interest Rates ◽  
Risk Premium ◽  
New Method ◽  
Inflation Expectations ◽  
Real Interest Rates ◽  
Inflation Risk ◽  
New Approach ◽  
Expected Inflation ◽  
Inflation Risk Premium

This Economic Commentary explains a relatively new method of uncovering inflation expectations, real interest rates, and an inflation-risk premium. It provides estimates of expected inflation from one month to 30 years, an estimate of the inflation-risk premium, and a measure of real interest rates, particularly a short (one-month) rate, which is not readily available from the TIPS market. Calculations using the method suggest that longer-term inflation expectations remain near historic lows. Furthermore, the inflation-risk premium is also low, which in the model means that inflation is not expected to deviate far from expectations.

scholarly journals Inflation Risk Premium : Evidence from the TIPS Market

2012 ◽  
Vol 2012 (06) ◽  
pp. 1-46 ◽  
Author(s):  
Olesya V. Grishchenko ◽  
◽  
Jing-zhi Huang
Keyword(s):  
Risk Premium ◽  
Inflation Risk ◽  
Inflation Risk Premium

ON THE INFLATION RISK PREMIUM

1995 ◽  
Vol 22 (6) ◽  
pp. 881-892 ◽  
Author(s):  
Quentin C. Chu ◽  
Cheng F. Lee ◽  
Deborah N. Pittman
Keyword(s):  
Risk Premium ◽  
Inflation Risk ◽  
Inflation Risk Premium

Measuring inflation expectations in Russia using stock market data

2017 ◽  
pp. 111-122 ◽  
Author(s):  
M. Zhemkov ◽  
O. Kuznetsova
Keyword(s):  
Stock Market ◽  
Risk Premium ◽  
Liquidity Risk ◽  
Information Policy ◽  
Inflation Expectations ◽  
Government Bonds ◽  
Inflation Risk ◽  
Market Data ◽  
Inflation Risk Premium ◽  
The Difference

This paper is devoted to the measurement of inflation expectations in Russia based on stock market data for the period from July 2015 to December 2016. It calculates the difference between the yields of the nominal and inflation-indexed government bonds and adjusts it to the inflation risk premium and liquidity risk premium to obtain inflation expectations. This net indicator represents inflation expectations of the participants of the stock market. The estimated inflation expectations can be used to analyze the effectiveness of the information policy.

Has the inflation risk premium fallen? Is it now negative?

FEDS Notes ◽  
2016 ◽  
Vol 2016 (1720) ◽  
Author(s):  
Andrew Chen ◽  
◽  
Eric Engstrom ◽  
Olesya Grishchenko
Keyword(s):  
Risk Premium ◽  
Inflation Risk ◽  
Inflation Risk Premium

Inflation risk premium implied by options

2014 ◽  
Vol 71 ◽  
pp. 90-102 ◽  
Author(s):  
Eddy Azoulay ◽  
Menachem Brenner ◽  
Yoram Landskroner ◽  
Roy Stein
Keyword(s):  
Risk Premium ◽  
Inflation Risk ◽  
Inflation Risk Premium
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