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Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty

Paul Söderlind

Open publisher page 178 citations

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.

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What this paper is about

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.

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OpenAlex reports 178 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available 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.

Key concepts: Economics, Inflation (cosmology), Risk premium, Real interest rate, Monetary policy, Market liquidity, Econometrics, Monetary economics

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