The Rocky Ride of Break-Even-Inflation Rates
Banque de France
Marielle De Jong
Amundi Asset Management
January 1, 2009
Banque de France Working Paper No. 230
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, G15working papers series
Date posted: September 14, 2010
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