Market-implied inflation and growth rates adversely affected by the Brent.

Gilbert Cette (1, 2) , Marielle De Jong

1 Centre de recherche de la Banque de France
2 GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille

The inflation and the real yield component deduced from inflation-linked and nominal bond prices are adversely affected by two market effects: price distortions due to certain market-related events and oil price movements. Their underlying time correlation without those effects is stable and positive. Market data analysis carried out on the world's major bond markets gives valuable new insight into the long-debated relationship between inflation and growth prospects. [ABSTRACT FROM AUTHOR]

Keywords: BONDS (Finance) ― Prices; INFLATION (Finance); PETROLEUM products; PRICE level changes; prices; RATE of return

Domains: Humanities and Social Sciences; Humanities and Social Sciences; Economics and Finance

Gilbert Cette, Marielle De Jong. Market-implied inflation and growth rates adversely affected by the Brent.. Journal of Asset Management, 2013, 14 (3), pp.133--139. ⟨hal-01499631⟩