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.
Gilbert Cette and Marielle de Jong
Classification JEL : E43, G15
Keywords : inflation-linked bonds, breakeven inflation, Fisher hypothesis, Brent
Updated on: 06/12/2018 11:10