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Inflation risk premia and the expectations hypothesis

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Author Info
Buraschi, Andrea
Jiltsov, Alexei

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Publisher Info
Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 75 (2005)
Issue (Month): 2 (February)
Pages: 429-490
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Handle: RePEc:eee:jfinec:v:75:y:2005:i:2:p:429-490

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. Reschreiter, Andreas, 2006. "Indexed Bonds and Revisions of Inflation Expectations," Economics Series 199, Institute for Advanced Studies. [Downloadable!]
  2. Andrew Ang & Jean Boivin & Sen Dong & Rudy Loo-Kung, 2009. "Monetary Policy Shifts and the Term Structure," NBER Working Papers 15270, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Ravenna , Federico & Seppälä , Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Research Discussion Papers 25/2006, Bank of Finland. [Downloadable!]
  4. Prakash Kannan, 2008. "Perspectives on High Real Interest Rates in Turkey," IMF Working Papers 08/251, International Monetary Fund. [Downloadable!]
  5. Stefania D'Amico & Don H. Kim & Min Wei, 2008. "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," Finance and Economics Discussion Series 2008-30, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  6. Paul Söderlind, 2006. "Monetary Policy Effects on Financial Risk Premia," University of St. Gallen Department of Economics working paper series 2006 2006-26, Department of Economics, University of St. Gallen. [Downloadable!]
  7. Tobias Adrian & Hao Wu, 2009. "The term structure of inflation expectations," Staff Reports 362, Federal Reserve Bank of New York. [Downloadable!]
  8. Marco Lyrio & Hans Dewachter & Konstantijn Maes, 2006. "A joint model for the term structure of interest rates and the macroeconomy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 439-462. [Downloadable!]
    Other versions:
  9. Ralph S.J Koijen & Otto Van Hemert & Stijn Van Nieuwerburgh, 2007. "Mortgage Timing," NBER Working Papers 13361, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  10. Isaac Kleshchelski & Nicolas Vincent, 2007. "Robust Equilibrium Yield Curves," Cahiers de recherche 08-02, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
  11. Peter Hördahl & Oreste Tristani & David Vestin, 2006. "The term structure of inflation risk premia and macroeconomic dynamics," Computing in Economics and Finance 2006 203, Society for Computational Economics. [Downloadable!]
  12. Shu Wu, 2005. "Monetary Policy and Long-term Interest Rates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200512, University of Kansas, Department of Economics, revised Apr 2005. [Downloadable!]
  13. Oreste Tristani, 2007. "Model misspecification, the equilibrium natural interest rate and the equity premium," Working Paper Series 808, European Central Bank. [Downloadable!]
  14. Sharon Kozicki & Peter Tinsley, 2005. "Term structure transmission of monetary policy," Research Working Paper RWP 05-06, Federal Reserve Bank of Kansas City. [Downloadable!]
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  15. Mauricio Larraín, 2007. "Inflation Compensation and Inflation Expectations in Chile," Working Papers Central Bank of Chile 421, Central Bank of Chile. [Downloadable!]
  16. Peter Hördahl, 2008. "The inflation risk premium in the term structure of interest rates," BIS Quarterly Review, Bank for International Settlements, September. [Downloadable!]
  17. Ravenna , Federico & Seppälä, Juha, 2007. "Monetary policy, expected inflation and inflation risk premia," Research Discussion Papers 18/2007, Bank of Finland. [Downloadable!]
  18. Juan Angel Garcia & Adrian van Rixtel, 2007. "Inflation-linked bonds from a central bank perspective," Banco de España Occasional Papers 0705, Banco de España. [Downloadable!]
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  19. Chernov, Mikhail & Mueller, Philippe, 2008. "The Term Structure of Inflation Expectations," CEPR Discussion Papers 6809, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  20. Joseph G. Haubrich & George Pennacchi & Peter Ritchken, 2008. "Estimating real and nominal term structures using treasury yields, inflation, inflation forecasts, and inflation swap rates," Working Paper 0810, Federal Reserve Bank of Cleveland. [Downloadable!]
  21. Peter Hördahl & Oreste Tristani, 2007. "Mortage interest rate dispersion in the euro area," Working Paper Series 734, European Central Bank. [Downloadable!]
  22. Koijen, Ralph S.J. & Nijman, Theo E. & Werker, Bas J.M., 2006. "Optimal portfolio choice with annuitization," Discussion Paper 78, Tilburg University, Center for Economic Research. [Downloadable!]
  23. Leo Krippner, 2005. "A New Framework for Yield Curve, Output and Inflation Relationships," Working Papers in Economics 05/07, University of Waikato, Department of Economics. [Downloadable!]
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