00000nam 2200000zi 4500 9.943987 CaOODSP 20251202083502 m o d f cr mn||||||||| 241009t20242024onca ob f000 0 eng d CaOODSP eng rda CaOODSP eng eng fre n-cn--- FB3-6/2024-9E-PDF Feunou, Bruno, author. Deriving longer-term inflation expectations and inflation risk premium measures for Canada / by Bruno Feunou and Zabi Tarshi. [Ottawa] : Bank of Canada = Banque du Canada, 2024. ©2024 1 online resource (25 pages) : colour illustrations. text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff discussion paper = Document d'analyse du personnel, 1914-0568 ; 2024-9 ISSN assigned to different series. "Last updated: July 8, 2024." Includes bibliographical references (pages 22-23). "We present two models for long-term inflation expectations and inflation risk premiums for Canada. First, we estimate inflation expectations using a vector autoregressive model based on the relationship of inflation with both the unemployment gap and the term structure of the Government of Canada nominal bond yields. Then we estimate the inflation risk premium by regressing the nominal term premium on a set of inflation risk factors. We find that our model-implied measure of inflation expectations generally follows a trend similar to that of break-even inflation rates. We also find that the estimated inflation risk premium is negative or near zero through most of the sample period because most of this period was dominated by low inflation and low growth, with investors concerned about deflation. However, the model-implied inflation risk premium becomes positive in 2021. Because real return bonds will eventually disappear in Canada, a market-derived indicator for long-term inflation expectations is particularly relevant for central bankers. Similarly, capturing the individual components of the nominal term premium can be highly useful from a policy perspective"--Abstract, page ii. Includes abstracts in English and French. Inflation risk Canada Econometric models. Risque d'inflation Canada Modèles économétriques. Bank of Canada, issuing body. Staff discussion paper (Bank of Canada) 2024-9. (CaOODSP)9.806273 PDF 1.00 MB https://publications.gc.ca/collections/collection_2024/banque-bank-canada/FB3-6-2024-9-eng.pdf