Fed working paper studies inflation risk premium
A recently released working paper from the Federal Reserve Board studies the term structure of real interest rates, expected inflation and inflation risk premia using data on prices of Treasury Inflation Protected Securities (Tips) over the period 2000–2008.
Authors Olesya Grishchenko and Jing-zhi Huang use an approach to estimate inflation risk premium that is arbitrage-free, largely model-free and easy to implement.
The researchers also make a distinction between Tips yields and real yields
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