Disagreement in expectations about public debt, monetary policy credibility and inflation risk premium
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Economics and Business"
DOI: 10.1016/j.jeconbus.2017.06.003
Abstract: This paper analyzes the determinants of the inflation risk premium in Brazil during the Inflation Targeting period. In particular, different from the existing studies, we analyze the influence of both public debt expectations and disagreement… read more here.
Keywords: risk premium; inflation; debt; inflation risk ... See more keywords
DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION
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DOI: 10.1017/s026996482000025x
Abstract: This paper studies an optimal deterministic investment problem for a DC pension plan member with inflation risk. We describe the price processes of the inflation-indexed bond and the stock by a continuous diffusion process and… read more here.
Keywords: inflation risk; investment; deterministic investment; pension plan ... See more keywords
Implicit Inflation and Risk Premiums in the Brazilian Fixed Income Market
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DOI: 10.1080/1540496x.2016.1193730
Abstract: ABSTRACT The breakeven inflation, the differential between nominal and real yields of bonds, is often used as a predictor of future inflation. The model presented here decomposes this interest rate differential into a risk premium… read more here.
Keywords: implicit inflation; market; inflation; risk premiums ... See more keywords