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dc.contributor.authorSchulz, Alexanderen
dc.contributor.authorStapf, Jelenaen
dc.date.accessioned2009-09-10-
dc.date.accessioned2009-09-16T12:07:22Z-
dc.date.available2009-09-16T12:07:22Z-
dc.date.issued2009-
dc.identifier.isbn978-3-86558-554-7en
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 1 |x2009,25en
dc.subject.jelE43en
dc.subject.jelF37en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordInflation-linked bondsen
dc.subject.keywordinflation swapsen
dc.subject.keywordprice discoveryen
dc.subject.keywordfinancial crisisen
dc.subject.stwRentenmarkten
dc.subject.stwIndexanleiheen
dc.subject.stwBörsenkursen
dc.subject.stwInformationsverbreitungen
dc.subject.stwInternationaler Preiszusammenhangen
dc.subject.stwZinsswapen
dc.subject.stwFinanzmarktkriseen
dc.subject.stwUSAen
dc.subject.stwEU-Staatenen
dc.titlePrice discovery on traded inflation expectations: does the financial crisis matter?-
dc.typeWorking Paperen
dc.identifier.ppn608485527en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp1:200925en

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