Estimating the inflation risk premium

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.

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Publication Details

Journal
Bank of Canada Research
Published
2025-03-04
DOI
https://doi.org/10.34989/san-2025-9
Primary Topic
Indoor and Outdoor Localization Technologies
Type
article
Field-Weighted Citation Impact
0.00
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article

Estimating the inflation risk premium

Bank of Canada Research
Indoor and Outdoor Localization Technologies
article

Estimating the inflation risk premium

article en

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.

Bank of Canada Research
Bank of Canada (CA)
Openalex Percentile: Top 58%
Indoor and Outdoor Localization Technologies
DOIOpen Access PDFOpenAlex
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Estimating the inflation risk premium · Bank of Canada Research (2025) | TGRS Research Map | TGRS