Using the treasury nominal and inflation-indexed spread to estimate expected long-run changes in the CPI-U under inflation uncertainty, risk aversion, and probability of deflation / Angelo Mascaro.

Format:

Book

Government document

Author/Creator:

Mascaro, Angelo

Contributor:

United States. Congressional Budget Office

Series:

Technical paper series (United States. Congressional Budget Office) ; 2003-10.

[Technical paper series / Congressional Budget Office ; 2003-10]

Language:

English

Subjects (All):

Consumer price indexes--United States.

Consumer price indexes.

United States.

Physical Description:

1 online resource (22 pages) : illustrations.

Place of Publication:

Washington, D.C. : Congressional Budget Office, [2003]

Summary:

"Yield spreads between rates on Treasury nominal and inflation-indexed securities are thought to be distorted measures of expected inflation because of various biases. Three sources of bias are investigated in this paper: risk aversion, inflation uncertainty, and failure to account for the explicit option on the redemption value of the Treasury's inflation-indexed security when there is a probability of deflation. The analysis produces estimates of all three biases. It finds that significant bias could arise from the second and third sources, while any bias from the first source appears negligible."

Notes:

Title from title screen (viewed on May 13, 2010).

"November 2003."

Includes bibliographical references (page 22).

OCLC:

614063353