In this paper we estimate inflation risk premia within a CCAPM framework, that is to say, the relative risk aversion coefficient times the conditional cova-riance between consumption and prices. The latter has been estimated from a GARCH bivariate for quarterly data on the Spanish economy from 1970:1 to 1995:IV. The former has been chosen according to the available estimates in the literature. Our results show that 1-, 3- and 5-year inflation risk premia have been rather low (below 40 basis points) and stable.

Keywords: CCAPM, Fisher relation, GARCH bivariate.