Inflation-Linked Bonds and Derivatives by Jessica James Michael Leister Christoph Rieger

Author:Jessica James, Michael Leister, Christoph Rieger
Language: eng
Format: epub
Publisher: De Gruyter
Published: 2022-12-23T22:00:32.500000+00:00

Assessing the Full CPI Curve

This approach is particularly relevant for drawing historical comparisons and analysing the impact of events like verbal central bank interventions, HICP releases or the pandemic.

Crucially, it takes into account the whole inflation curve, which is particularly useful for assessing spillovers into longer-dated inflation expectations, for example arising from commodity price declines or weak core inflation prints. Implied year-end HICPx rates hence deliver a more precise picture of the real-time dynamics in inflation expectations.

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