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Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank >

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http://hdl.handle.net/10419/27924
  

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dc.contributor.authorSchulz, Alexanderen_US
dc.contributor.authorStapf, Jelenaen_US
dc.date.accessioned2009-09-10en_US
dc.date.accessioned2009-09-16T12:07:22Z-
dc.date.available2009-09-16T12:07:22Z-
dc.date.issued2009en_US
dc.identifier.isbn978-3-86558-554-7en_US
dc.identifier.urihttp://hdl.handle.net/10419/27924-
dc.description.abstractWe analyze contributions of different markets to price discovery on traded inflation expectations and how it changed during the financial crisis. The quicker information is processed on one market and the less one market is disrupted by the financial crisis the more valuable is its information for central banks and market participants. We use a new high frequency data set on inflation-indexed and nominal government bonds as well as inflation swaps to calculate information shares of break-even inflation rates in the euro area and the US. For maturities up to 5 years new information comes from both the swap and the bond markets. For longer maturities the swap market provides less and less information in the euro area. In the US where the market volume of inflation-linked bonds is large the bond market dominates the price discovery process for all maturities. The severe financial crisis that spread out in Autumn 2008 drove a wedge between bond and swap break-even inflation rates in both currencies. Price discovery ceased to take place on the swap market. Disruptions coming from the short-end of the market even separated price formation on both segments for maturities of up to 6 years in the US. Against the backdrop of the most severe financial crisis in decades contributions to price formation concentrated a lot more on the presumably safest financial instrument: government bonds.en_US
dc.language.isoengen_US
dc.publisherDt. Bundesbank Frankfurt, M.en_US
dc.relation.ispartofseriesDiscussion Paper Series 1: Economic Studies 2009,25en_US
dc.subject.jelE43en_US
dc.subject.jelF37en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordInflation-linked bondsen_US
dc.subject.keywordinflation swapsen_US
dc.subject.keywordprice discoveryen_US
dc.subject.keywordfinancial crisisen_US
dc.subject.stwRentenmarkten_US
dc.subject.stwIndexanleiheen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwInformationsverbreitungen_US
dc.subject.stwInternationaler Preiszusammenhangen_US
dc.subject.stwZinsswapen_US
dc.subject.stwFinanzmarktkriseen_US
dc.subject.stwUSAen_US
dc.subject.stwEU-Staatenen_US
dc.titlePrice discovery on traded inflation expectations: does the financial crisis matter?en_US
dc.typeWorking Paperen_US
dc.identifier.ppn608485527en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp1:200925-
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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