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Treasury bond yields and long-run inflation expectations

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Author Info

  • Jens Christensen

Abstract

This Economic Letter uses data on nominal and real Treasury yields to study the behavior of market-implied expected inflation since the beginning of 2007.

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File URL: http://www.frbsf.org/publications/economics/letter/2008/el2008-25.html
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File URL: http://www.frbsf.org/publications/economics/letter/2008/el2008-25.pdf
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Bibliographic Info

Article provided by Federal Reserve Bank of San Francisco in its journal FRBSF Economic Letter.

Volume (Year): (2008)
Issue (Month): Aug 15 ()
Pages:

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Handle: RePEc:fip:fedfel:y:2008:i:aug15:n:2008-25

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Related research

Keywords: Inflation (Finance) ; Treasury bonds;

References

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  1. Refet S. Gürkaynak & Brian Sack & Jonathan H. Wright, 2006. "The U.S. Treasury yield curve: 1961 to the present," Finance and Economics Discussion Series 2006-28, Board of Governors of the Federal Reserve System (U.S.).
  2. Jens H.E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007. "The affine arbitrage-free class of Nelson-Siegel term structure models," Working Paper Series 2007-20, Federal Reserve Bank of San Francisco.
  3. Refet S. Gürkaynak & Brian Sack & Jonathan H. Wright, 2008. "The TIPS yield curve and inflation compensation," Finance and Economics Discussion Series 2008-05, Board of Governors of the Federal Reserve System (U.S.).
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