In terms of inflation risk, there has been a significant shift from an inflation risk discount until mid-2021 to an increasing inflation risk premium in recent months. Chart 11 Inflation-linked swap rate (percentages per annum)  Sources: Refinitiv and ECB calculations.
Notes: Premia-adjusted average estimates based on two affine term structure models following Joslin, Singleton and Zhu (2011) applied to ILS rates adjusted for the indexation lag (monthly data), as in Camba-Mendez and Werner (2017); see Burban, V. et al. (2021), “Decomposing market-based measures of inflation compensation into inflation expectations and risk premia”, Economic Bulletin, Issue 8, ECB.