Authors: Remy Beauregard, Jens H. E. Christensen, Eric Fischer, and Simon Zhu
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Staff Reports
Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico
Number 961
March 2021 Revised November 2021
March 2021 Revised November 2021
JEL classification: D84, E31, E47, E52, E58, G12
To study inflation expectations and associated risk premia in emerging bond markets, this paper provides estimates for Mexico based on an arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for their liquidity risk. In addition to documenting the existence of large and timevarying liquidity premia in nominal and real bond prices that are only weakly correlated, the results indicate that long-term inflation expectations in Mexico are well anchored close to the inflation target of the Bank of Mexico. Furthermore, Mexican inflation risk premia are larger and more volatile than those in Canada and the United States.
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