期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2010
出版社：European Central Bank
摘要：We use a joint model of macroeconomic and term structure dynamics to estimate ination risk premia in the United States and the euro area. To sharpen our estima- tion, we include in the information set macro data and survey data on ination and interest rate expectations at various future horizons, as well as term structure data from both nominal and index-linked bonds. Our results show that, in both currency areas, ination risk premia are relatively small, positive, and increasing in maturity. The cyclical dynamics of long-term ination risk premia are mostly associated with changes in output gaps, while their high-frequency uctuations seem to be aligned with variations in ination. However, the cyclicality of ination premia di¤ers be- tween the US and the euro area. Long term ination premia are countercyclical in the euro area, while they are procyclical in the US
关键词：Term structure of interest rates; ination risk premia; central bank;credibility.
