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- Title
Futures Prices and Inflation Information.
- Authors
Chen-Chin Chu
- Abstract
This study examines the timing and speed with which inflation futures prices absorb inflation information. Results of the study show that inflation futures prices already reflect the expected inflation. Moreover, 71% of unexpected inflation has been reflected in futures prices about 25 business days prior to the Consumer Price Index (CPI) announcement, which usually coincides with the end of the CPI measurement period. Reaction to the remaining 29% occurs on and shortly after the CPI announcement date, especially on day 0 and day 2. The inflation risk premium that investors are willing to pay to avoid uncertain inflation is estimated to be 1.41% per annum.
- Subjects
PRICE inflation; FUTURES; PRICES; CONSUMER price indexes; RISK premiums; INVESTORS
- Publication
Review of Quantitative Finance & Accounting, 1991, Vol 1, Issue 3, p281
- ISSN
0924-865X
- Publication type
Article
- DOI
10.1007/BF02408381