Inflation expectations and risk premia in emerging bond markets: Evidence from Mexico

• 成果类型: Article
• 署名作者: Beauregard, Remy; Christensen, Jens H. E.; Fischer, Eric; Zhu, Simon
• 署名单位: University of California System; University of California Davis; Federal Reserve System - USA; Federal Reserve Bank - San Francisco; University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2024.103961
• 发表日期: 2024
• 关键词: Term structure modeling; liquidity risk; Financial market frictions; Central bank credibility

摘要

To study inflation expectations and associated risk premia in emerging bond markets, we provide estimates for Mexico based on an arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for their liquidity risk. Beyond documenting the existence of large and weakly correlated liquidity premia in nominal and real bond prices, our results indicate that long-term inflation expectations in Mexico are well anchored close to the Bank of Mexico's inflation target. Furthermore, Mexican inflation risk premia are larger and more volatile than those in Canada and the United States.