Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153264
Authors: 
Ejsing, Jacob
García, Juan Angel
Werner, Thomas
Year of Publication: 
2007
Series/Report no.: 
ECB Working Paper 830
Abstract: 
This paper provides a toolkit for extracting accurate information about inflation expectations using inflation-linked bonds. First, we show how to estimate term structures of zero-coupon real rates and break-even inflation rates (BEIRs) in the euro area. This improves the analysis of developments in inflation expectations by providing constant maturity measures. Second, we show that seasonality in consumer prices introduces misleading and quantitatively important time-varying distortions in the calculated BEIRs. We explain how to correct for this in the estimation of the term structure, and thus provide a unified framework for extracting constant maturity BEIRs corrected for seasonality.
Subjects: 
break-even inflation rates
inflation seasonality
inflation-linked bonds
Term structure
JEL: 
E31
E43
G12
Document Type: 
Working Paper

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