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|a The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation risks from the perspective of a well diversified portfolio. This allows to disentangle the time-varying compensation for expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected in ation. The simultaneous occurrence of these low contributions is novel, and not encountered previously in our sample. We also find that inflation risks are not necessarily reduced with the inclusion of real estate assets in the minimum variance portfolio. Our analysis also prompts us to suggest that the financial advantage of issuing in ation-linked sovereign debt, and namely saving on the embedded in ation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium charged by investors for holding the less attractive inflation-linked debt asset.
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Camba-Méndez, Gonzalo |
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Camba-Méndez, Gonzalo |
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The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation risks from the perspective of a well diversified portfolio. This allows to disentangle the time-varying compensation for expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected in ation. The simultaneous occurrence of these low contributions is novel, and not encountered previously in our sample. We also find that inflation risks are not necessarily reduced with the inclusion of real estate assets in the minimum variance portfolio. Our analysis also prompts us to suggest that the financial advantage of issuing in ation-linked sovereign debt, and namely saving on the embedded in ation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium charged by investors for holding the less attractive inflation-linked debt asset. |
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Camba-Méndez, Gonzalo VerfasserIn (DE-588)171735544 (DE-627)061973939 (DE-576)132506807 aut, On the inflation risks embedded in sovereign bond yields Gonzalo Camba-Mendez, Frankfurt am Main, Germany European Central Bank [2020], 1 Online-Ressource (circa 39 Seiten) Illustrationen, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Working paper series / European Central Bank no 2423 (June 2020), The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation risks from the perspective of a well diversified portfolio. This allows to disentangle the time-varying compensation for expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected in ation. The simultaneous occurrence of these low contributions is novel, and not encountered previously in our sample. We also find that inflation risks are not necessarily reduced with the inclusion of real estate assets in the minimum variance portfolio. Our analysis also prompts us to suggest that the financial advantage of issuing in ation-linked sovereign debt, and namely saving on the embedded in ation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium charged by investors for holding the less attractive inflation-linked debt asset., Europäische Zentralbank Working paper series no 2423 (June 2020) 2423 (DE-627)372370322 (DE-576)108090442 (DE-600)2123559-4 1725-2806, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2423~7e1df4f7a8.en.pdf Verlag kostenfrei, https://doi.org/10.2866/348453 Resolving-System kostenfrei, http://hdl.handle.net/10419/229037 Resolving-System kostenfrei, https://doi.org/10.2866/348453 LFER, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2423~7e1df4f7a8.en.pdf LFER, LFER 2020-08-07T17:43:04Z |
| spellingShingle |
Camba-Méndez, Gonzalo, On the inflation risks embedded in sovereign bond yields, Europäische Zentralbank, Working paper series, no 2423 (June 2020), The purpose of this paper is to study the compensation for in ation risks priced in sovereign bond yields. And we do so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation risks from the perspective of a well diversified portfolio. This allows to disentangle the time-varying compensation for expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate. We show that nominal sovereign bond yields for Germany, France, Japan and the United States, reflect, over the more recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected in ation. The simultaneous occurrence of these low contributions is novel, and not encountered previously in our sample. We also find that inflation risks are not necessarily reduced with the inclusion of real estate assets in the minimum variance portfolio. Our analysis also prompts us to suggest that the financial advantage of issuing in ation-linked sovereign debt, and namely saving on the embedded in ation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium charged by investors for holding the less attractive inflation-linked debt asset. |
| title |
On the inflation risks embedded in sovereign bond yields |
| title_auth |
On the inflation risks embedded in sovereign bond yields |
| title_full |
On the inflation risks embedded in sovereign bond yields Gonzalo Camba-Mendez |
| title_fullStr |
On the inflation risks embedded in sovereign bond yields Gonzalo Camba-Mendez |
| title_full_unstemmed |
On the inflation risks embedded in sovereign bond yields Gonzalo Camba-Mendez |
| title_in_hierarchy |
no 2423 (June 2020). On the inflation risks embedded in sovereign bond yields ([2020]) |
| title_short |
On the inflation risks embedded in sovereign bond yields |
| title_sort |
on the inflation risks embedded in sovereign bond yields |
| url |
https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2423~7e1df4f7a8.en.pdf, https://doi.org/10.2866/348453, http://hdl.handle.net/10419/229037 |
