TY - JOUR T1 - Inflation Risk Premium JF - The Journal of Portfolio Management SP - 266 LP - 275 DO - 10.3905/jpm.2022.1.354 VL - 48 IS - 5 AU - Jamil Baz AU - Josh Davis AU - Jerry Tsai AU - Ziqi Zhang Y1 - 2022/03/31 UR - https://pm-research.com/content/48/5/266.abstract N2 - A simple consumption-based model implies that the inflation risk premium should be high when inflation and growth are more negatively correlated, and vice versa. The authors calculate two measures of inflation risk premium: One is the difference between breakeven inflation and survey-based inflation expectations, and the other is the correlation between survey-based growth and inflation forecasts. They show that both measures imply a small inflation risk premium in recent years. Furthermore, the two measures tend to be positively correlated with each other. ER -