Market-implied inflation and growth rates adversely affected by the Brent

The inflation and the real yield component deduced from inflation-linked and nominal bond prices are adversely affected by two market effects: price distortions due to certain market-related events and oil price movements. Their underlying time-correlation without those effects is stable and positiv...

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Bibliographic Details
Published inIDEAS Working Paper Series from RePEc
Main Authors Cette, G, de Jong, M
Format Paper
LanguageEnglish
Published St. Louis Federal Reserve Bank of St. Louis 01.01.2013
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Summary:The inflation and the real yield component deduced from inflation-linked and nominal bond prices are adversely affected by two market effects: price distortions due to certain market-related events and oil price movements. Their underlying time-correlation without those effects is stable and positive. Market data analysis carried out on the world's major bond markets gives valuable new insight into the long-debated relationship between inflation and growth prospects.