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Estimating the inflation risk premium

Author

Listed:
  • Bruno Feunou
  • Gitanjali Kumar

Abstract

Is there a risk of de-anchoring of inflation expectations in the near term? We estimate the inflation risk premium using traditional asset pricing models to answer this question. The risk of de-anchoring is elevated compared with the period before the COVID-19 pandemic and is higher in the United States than in Canada.

Suggested Citation

  • Bruno Feunou & Gitanjali Kumar, 2025. "Estimating the inflation risk premium," Staff Analytical Notes 2025-9, Bank of Canada.
    • Handle: RePEc:bca:bocsan:25-9
    DOI: 10.34989/san-2025-9
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    More about this item

    Keywords

    Asset pricing; Econometric and statistical methods;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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