The Rocky Ride of Break-Even-Inflation Rates

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Preprint 01 Jan 2009 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Cette, G.; De Jong, M.;

doi: 10.2139/ssrn.1676892

The Rocky Ride of Break-Even-Inflation Rates

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Abstract

The correlation matrix between break-even inflation rate movements and real interest rate movements across several countries shows puzzling features. Correlation is significantly positive for nearly all cross-border pairs whereas it is nil, positive or negative unsystematically within countries. By means of a correlation matrix decomposition, we provide an explanation for this puzzle.

Related Organizations

Banque de France
France
Conférence des Présidents d'Université
France
Grenoble School of Management
France

Keywords

Inflation-linked bonds ; Break-even inflation rates, Inflation-linked bonds, jel: jel:G15, jel: jel:G1, jel: jel:E43, jel: jel:E4

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