Macroeconomic Drivers of Inflation Expectations and Inflation Risk Premia
提出一个新模型，将通胀挂钩互换利率分解为通胀预期和通胀风险溢价，发现后者显著驱动利率，且宏观经济冲击在不同期限和地区作用不同，国际因素如油价在疫情期间影响通胀预期。
Abstract We propose a new affine term structure model to decompose inflation-linked swap (ILS) rates into genuine inflation expectations and inflation risk premia. The model accounts for both short-term macroeconomic factors and long-term economic trends, namely trend inflation and the equilibrium real interest rate. We estimate the model for the US and euro area and find that the inflation risk premium significantly drives ILS rates, with macroeconomic shocks playing different roles across maturities and regions. International factors, particularly oil prices, impact market-based inflation expectations during key global events like the COVID-19 pandemic and the Russian invasion of Ukraine.