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ESTIMATING INFLATION RISK PREMIA USING INFLATION‐LINKED BONDS: A REVIEW
Author(s) -
Kupfer Alexander
Publication year - 2018
Publication title -
journal of economic surveys
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.657
H-Index - 92
eISSN - 1467-6419
pISSN - 0950-0804
DOI - 10.1111/joes.12265
Subject(s) - economics , inflation (cosmology) , risk premium , bond , zero lower bound , market liquidity , econometrics , monetary economics , financial economics , monetary policy , finance , physics , theoretical physics
This paper provides an overview of studies that estimate the inflation risk premium using inflation‐linked bond (ILB) yields. I categorize existing studies, outline their research designs and compare their estimates for the inflation risk premium. Furthermore, the importance of accounting for ILB illiquidity and an overview of existing ILB liquidity proxies are demonstrated. A discussion of current literature developments, such as the zero lower bound, and an outline for future research directions conclude the paper.