Treasury bond yields and long-run inflation expectations
AbstractThis 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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Bibliographic InfoArticle provided by Federal Reserve Bank of San Francisco in its journal FRBSF Economic Letter.
Volume (Year): (2008)
Issue (Month): Aug 15 ()
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- 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.).
- 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.
- Christensen, Jens H.E. & Diebold, Francis X. & Rudebusch, Glenn D., 2011. "The affine arbitrage-free class of Nelson-Siegel term structure models," Journal of Econometrics, Elsevier, vol. 164(1), pages 4-20, September.
- Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007. "The Affine Arbitrage-Free Class of Nelson-Siegel Term Structure Models," PIER Working Paper Archive 07-029, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Jens H. E. Christensen & Francis X. Diebold & Glenn D. Rudebusch, 2007. "The Affine Arbitrage-Free Class of: Nelson-Siegel Term Structure Models," NBER Working Papers 13611, National Bureau of Economic Research, Inc.
- 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.).
- Gurkaynak, Refet S. & Sack, Brian & Wright, Jonathan H., 2007. "The U.S. Treasury yield curve: 1961 to the present," Journal of Monetary Economics, Elsevier, vol. 54(8), pages 2291-2304, November.
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