Inflation Uncertainty and Disagreement in Bond Risk Premia

@article{DAmico2014InflationUA,
  title={Inflation Uncertainty and Disagreement in Bond Risk Premia},
  author={Stefania D’Amico and Athanasios Orphanides},
  journal={Econometric Modeling: Capital Markets - Risk eJournal},
  year={2014}
}
This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the subjective probability distributions available in the Survey of Professional Forecasters we construct a quarterly time series of average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation uncertainty differs importantly from measures of disagreement regarding inflation forecasts and other proxies, such as model-based ex-post… Expand
The term structure and inflation uncertainty
Abstract To assess the importance of inflation risk for nominal Treasury yields, a novel quadratic term structure model with time-varying inflation risk is estimated using survey-based inflationExpand
The Term Structure and Inflation Uncertainty
This paper develops and estimates a Quadratic-Gaussian model of the US term structure that can accommodate the rich dynamics of inflation risk premia over the 1983-2013 period by allowing forExpand
Less Bang for the Buck? Assessing the Role of Inflation Uncertainty for U.S. Monetary Policy Transmission in a Data Rich Environment
We investigate the relationship between inflation uncertainty and monetary policy transmission in the U.S. economy. Monetary policy shocks are identified within the framework of nonlinear structuralExpand
Economic Policy Uncertainty and Household Inflation Uncertainty
How does uncertainty about economic policy translate into uncertainty about macroeconomic outcomes, in particular inflation? New measures of consumer inflation uncertainty are compared to theExpand
Monetary Policy Uncertainty and the Response of the Yield Curve to Policy Shocks
This paper studies the nonlinear response of the term structure of interest rates to monetary policy shocks and presents a new stylized fact. We show that uncertainty about monetary policy changesExpand
Economic policy uncertainty and household inflation uncertainty
Abstract How does uncertainty about economic policy translate into uncertainty about macroeconomic outcomes, in particular inflation? New measures of consumer inflation uncertainty are compared toExpand
The Joint Dynamics of U.S. and Euro-Area Inflation Rates: Expectations and Time-varying Uncertainty
We use several U.S. and euro-area surveys of professional forecasters to estimate a dynamic factor model of inflation with time-varying uncertinty. We obtain survey-consistent distributions of futureExpand
The Joint Dynamics of the U.S. and Euro-Area Inflation: Expectations and Time-Varying Uncertainty
We propose a dynamic factor model with time-varying uncertainty for the joint estimation of inflation expectations in the United States and the euro area. We exploit information in several U.S. andExpand
Subjective Interest Rate Uncertainty and the Macroeconomy: A Cross-Country Analysis
We ask whether uncertainty about interest rates is important for economic activity. Effects of interest rate uncertainty on the economy are examined through the lens of a small VAR where theExpand
Subjective Interest Rate Uncertainty and the Macroeconomy: A Cross-Country Analysis
We ask whether uncertainty about interest rates is important for economic activity. Effects of interest rate uncertainty on the economy are examined through the lens of a small VAR where theExpand
...
1
2
3
...

References

SHOWING 1-10 OF 54 REFERENCES
Inflation risk premia and the expectations hypothesis
Abstract We study the properties of the nominal and real risk premia of the term structure of interest rates. We develop and solve the bond pricing implications of a structural monetary version of aExpand
Inflation Ambiguity and the Term Structure of U.S. Government Bonds
Variations in trend inflation are the main driver for variations in the nominal yield curve. According to empirical data, investors observe a set of empirical models that could all have generated theExpand
Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset
This paper provides cross-country empirical evidence on term premia. I construct a panel of zero-coupon nominal government bond yields spanning ten industrialized countries and nearly two decades. IExpand
Uncertainty and Disagreement in Forecasting Inflation: Evidence from the Laboratory
This paper compares the behavior of subject' uncertainty in different monetary policy environments when forecasting inflation in the laboratory. We find that inflation targeting produces lowerExpand
The Economics of Options-Implied Inflation Probability Density Functions
Recently a market in options based on CPI inflation (inflation caps and floors) has emerged in the US. This paper uses quotes on these derivatives to construct probability densities for inflation. WeExpand
Trend and Cycle in Bond Premia
Common statistical measures of bond risk premia are volatile and countercyclical. This paper uses survey data on interest rate forecasts to construct subjective bond risk premia. Subjective premiaExpand
The Relationship between Expected Inflation, Disagreement, and Uncertainty: Evidence from Matched Point and Density Forecasts
This paper examines matched point and density forecasts of inflation from the Survey of Professional Forecasters to analyze the relationship between expected inflation, disagreement, and uncertainty.Expand
Uncertainty and disagreement in economic forecasting
Using the probabilistic responses from the Survey of Professional Forecasters, we study the evolution of uncertainty and disagreement associated with inflation forecasts in the United States sinceExpand
Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
The covariance between US Treasury bond returns and stock returns has moved considerably over time. While it was slightly positive on average in the period 1953--2009, it was unusually high in theExpand
Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
The covariance between US Treasury bond returns and stock returns has moved considerably over time. While it was slightly positive on average in the period 1953--2009, it was unusually high in theExpand
...
1
2
3
4
5
...