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Discussion Paper

Drivers of Inflation Compensation: Evidence from Inflation Swaps in Advanced Economies


Abstract: In this note, we provide a comparative analysis of inflation swaps for three advanced economies: the United States, the euro area, and the United Kingdom. We consider empirical proxies for energy prices, economic activity, exchange rates, and risky asset prices as potential drivers of inflation expectations and risk premiums in a regression framework.

https://doi.org/10.17016/2573-2129.28

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Bibliographic Information

Provider: Board of Governors of the Federal Reserve System (U.S.)

Part of Series: IFDP Notes

Publication Date: 2016-12-30

Number: 2016-12-30-2

Order Number: 2016-12-30-2