Market-implied inflation and growth rates adversely affected by the Brent

Gilbert Cette and Marielle de Jong ()

Abstract: 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.

Keywords: inflation-linked bonds; breakeven inflation; Fisher hypothesis; Brent. (search for similar items in EconPapers)
JEL-codes: E43 G15 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2013
New Economics Papers: this item is included in nep-ene, nep-ias and nep-mac
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Citations: View citations in EconPapers (2)

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Journal Article: Market-implied inflation and growth rates adversely affected by the Brent (2013)
Working Paper: Market-implied inflation and growth rates adversely affected by the Brent (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:bfr:banfra:433

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