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Working Paper Series no. 230: The Rocky Ride of Break-even-inflation rates

By , de Jong Marielle

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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.

Gilbert Cette and Marielle de Jong
January 2009

Classification JEL : E43, G15

Keywords : Inflation-linked bonds, Break-even inflation rates

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Working Paper Series no. 230: The Rocky Ride of Break-even-inflation rates
  • Published on 01/01/2009
  • EN
  • PDF (169.31 KB)
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Updated on: 06/12/2018 11:00