Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/298367 
Year of Publication: 
2024
Series/Report no.: 
NBB Working Paper No. 446
Publisher: 
National Bank of Belgium, Brussels
Abstract: 
We propose a new model to decompose inflation swaps into genuine inflation expectations and risk premiums. We develop a no-arbitrage term structure model with stochastic endpoints, separating macroeconomic variables into transitory parts and long-run, economically grounded determinants, such as the equilibrium real interest rate and the inflation target. Our estimations deliver new insights into how macroeconomic variables affect market-based inflation expectation measures.
Subjects: 
Inflation-linked swaps
affine term structure model
inflation expectations
inflation risk premia
inflation trend
shifting endpoints
JEL: 
E31
E44
E52
Document Type: 
Working Paper

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