ESTIMATING INFLATION RISK PREMIA USING INFLATION‐LINKED BONDS: A REVIEW
这篇综述梳理了利用通胀挂钩债券收益率估计通胀风险溢价的研究，比较了不同方法的估计结果，并强调了债券流动性不足的重要性，适合关注通胀风险定价的学者和投资者。
Abstract This paper provides an overview of studies that estimate the inflation risk premium using inflation‐linked bond (ILB) yields. I categorize existing studies, outline their research designs and compare their estimates for the inflation risk premium. Furthermore, the importance of accounting for ILB illiquidity and an overview of existing ILB liquidity proxies are demonstrated. A discussion of current literature developments, such as the zero lower bound, and an outline for future research directions conclude the paper.