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Inflazione e Investimenti - UIS Research Centre

The goal of this research will be to extract the magnitude of the compensation required by investors to bear the costs of inflation during the lifetime of an Italian bond that pays in nominal terms. The ultimate impact of this research will be to study the differences and determinants of inflation risk premia in the context of the Italian yield curve structure. An affine term structure model to estimate jointly the nominal and real Italian yield curve will be employed, imposing arbitrage pricing restrictions. In particular, this study will aim at extending the dataset employed by (Di Iorio, Fanari, 2020) who worked in a Nelson-Siegel framework, and study variations in inflation risk premia for the market of italian bonds, in the post Covid-19 high inflation environment. Finally, we will try to see whether the extrapolated risk premium still comoves with downside inflation risk or has inverted trend, indicating a shift in investors’ sentiment. Furthermore, this study could be extended to extrapolate risk premia measures for other eurozone countries to deduce broader policy implications.

Preferred skills: Working knowledge of both Python and Matlab, knowledge of Term Structure Models (e.g. Nelson Siegel models and Affine Term Structure models).

Required skills: Interest in Monetary Economics, working knowledge of at least one coding language, either Python or Matlab.

PhD Supervisor: Giorgio Militello

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