Abstract

  
 

Citations (1)



 
 

Footnotes (7)



 


 



The Rocky Ride of Break-Even-Inflation Rates


Gilbert Cette


Banque de France

Marielle De Jong


Amundi Asset Management
January 1, 2009

Banque de France Working Paper No. 230

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.

Number of Pages in PDF File: 12

Keywords: Inflation-Linked Bonds, Break-Even Inflation Rates

JEL Classification: E43, G15

working papers series


Download This Paper

Date posted: September 14, 2010  

Suggested Citation

Cette, Gilbert and De Jong, Marielle, The Rocky Ride of Break-Even-Inflation Rates (January 1, 2009). Banque de France Working Paper No. 230. Available at SSRN: http://ssrn.com/abstract=1676892 or http://dx.doi.org/10.2139/ssrn.1676892

Contact Information

Gilbert Cette (Contact Author)
Banque de France ( email )
Paris
France
Marielle De Jong
Amundi Asset Management ( email )
90 Boulevard Pasteur
Paris, 75015
France
Feedback to SSRN (Beta)


Paper statistics
Abstract Views: 195
Downloads: 26
Citations:  1
Footnotes:  7

© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright
This page was processed by apollo5 in 0.562 seconds