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.

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 The TIPS Yield Curve and Inflation Compensation

2010 ◽  
Vol 2 (1) ◽  
pp. 70-92 ◽  
Author(s):  
Refet S. Gürkaynak ◽  
Brian Sack ◽  
Jonathan H. Wright
Keyword(s):  
Federal Reserve ◽  
Risk Premium ◽  
Yield Curve ◽  
Inflation Expectations ◽  
Liquidity Premium ◽  
Inflation Risk ◽  
Inflation Risk Premium

For over ten years, the Treasury has issued index-linked debt. This paper describes the methodology for fitting a smoothed yield curve to these securities that is used at the Federal Reserve Board every day, and makes the estimates public. Comparison with the corresponding nominal yield curve allows measures of inflation compensation to be computed. We discuss the interpretation of inflation compensation, and provide evidence that it is not a pure measure of inflation expectations being distorted by inflation risk premium and liquidity premium components. We attempt to estimate the TIPS liquidity premium and to extract underlying inflation expectations. (JEL E31, E43, H63)

scholarly journals Estimação da Inflação Implícita de Curto Prazo

2018 ◽  
Vol 15 (2) ◽  
pp. 227
Author(s):  
Gustavo Silva Araujo ◽  
José Valentim Vicente
Keyword(s):  
Interest Rates ◽  
Risk Premium ◽  
Inflation Rate ◽  
Predictive Ability ◽  
Short Term ◽  
Government Bonds ◽  
Inflation Risk ◽  
Short Run ◽  
The Difference ◽  
Better Than

Implicit inflation or break-even inflation rate (BEIR) is the difference between nominal and real interest rates. In the Brazilian market, we can obtain it from indexed government bonds. However, when dealing with short-term BEIR, this task presents two difficulties: a) inflation-indexed bonds have indexation lags; b) inflation seasonality implies real interest rate seasonality. The aim of this paper is to propose a methodology to estimate the short-term BEIR that addresses these two issues. Assuming a negligible inflation risk premium in the short run, we evaluate the predictive ability of the BEIR by confronting it with expectations based on the market analysts’ forecasts published on the Focus Survey. The results show that the BEIR is competitive when compared to the Focus Survey. An advantage of the BEIR is that it allows monitoring of expectations better than surveys, since it is continuously updated.

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

Market Liquidity and Momentum Profits : Evidence from the Korean Stock Market

2018 ◽  
Vol 26 (4) ◽  
pp. 497-524
Author(s):  
Changha Kim ◽  
Changjun Lee
Keyword(s):  
Stock Market ◽  
Liquidity Risk ◽  
Market Liquidity ◽  
Momentum Effect ◽  
Momentum Strategy ◽  
Full Sample ◽  
Momentum Profits ◽  
Significant Difference ◽  
Korean Stock Market ◽  
The Difference

Previous literature in the Korean stock market has shown that the momentum effect is not observed during pre-2000 period while it is observed during post-2000 period. Given that market illiquidity has substantially decreased during post-2000 period, we examine whether the level of market illiquidity affect the momentum profits. The central findings are summarized as follows. First, our full-sample analysis shows that market liquidity is positively associated with momentum profits, meaning that the observed momentum effect during post-2000 period is related to the decrease in market illiquidity. Second, during pre-2000 period, when the market illiquidity is very high, the illiquidity of past losers is extremely high compared to that of past winners. However, there is no significant difference in illiquidity between winners and losers during post-2000 period. Third, based on this result, we conjecture that the momentum effect is related to the different compensation for liquidity risk between past losers and winners, and test whether this is indeed the case. We find significant momentum profits over the whole period when we consider the compensation for the liquidity risk of past losers and winners. In addition, during pre-2000 period, the return on momentum strategy that controls the liquidity risk is substantially higher than the actually observed momentum profits. In sum, our study suggests that the difference in compensation for liquidity risk between past losers and winners is very important in understanding the momentum effect in the Korean stock market.

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
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