کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7356618 | 1478287 | 2018 | 59 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
What do the prices of UK inflation-linked securities say on inflation expectations, risk premia and liquidity risks?
ترجمه فارسی عنوان
ارزش های اوراق بهادار مربوط به تورم انگلیس بر روی انتظارات تورمی، ریسک و خطرات نقدینگی چه می گویند؟
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
The difference between yields on nominal and inflation-linked government bonds or inflation swap rates are important indicators of the outlook for inflation and are monitored regularly by central banks, including the United Kingdom's Monetary Policy Committee (MPC). However, in the United Kingdom, inflation-linked instruments reference RPI inflation, whereas the MPC's target is CPI inflation of 2%. In this paper we extract market expectations for UK CPI inflation with the help of UK RPI-linked gilt prices, which is a novelty in the literature. To better extract useful information about expectations for CPI inflation, we develop a no-arbitrage term structure model and decompose the forward inflation curve into: measures of CPI inflation expectations; the expected wedge between RPI and CPI inflation; estimates of inflation risk premia and estimates of liquidity risk premia. We show that long-horizon expectations of CPI inflation fell in the 1990â¯s, after the introduction of inflation targeting and the creation of the MPC, and have since remained fairly stable at around 2%.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 88, March 2018, Pages 76-96
Journal: Journal of Banking & Finance - Volume 88, March 2018, Pages 76-96
نویسندگان
Iryna Kaminska, Liu Zhuoshi, Jon Relleen, Elisabetta Vangelista,