Working Paper: CEPR ID: DP7250
Authors: Paul Sderlind
Abstract: Nominal and real U.S. interest rates (1997Q1-2008Q2) are combined with inflation expectations from the Survey of Professional Forecasters to calculate time series of risk premia. It is shown that survey data on inflation and output growth uncertainty, as well as a proxy for liquidity premia can explain a large amount of the variation in these risk premia.
Keywords: Breakeven inflation; Liquidity premium; Survey of professional forecasters
JEL Codes: E27; E47
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| inflation uncertainty (E31) | total premium (G22) |
| disagreement among forecasters (E17) | total premium (G22) |
| off-the-run liquidity premium (G19) | total premium (G22) |
| output growth uncertainty (D89) | total premium (G22) |