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Inflation Expectations and Risks in a Two-Country Affine-Yield Model

In: Market Liquidity: Research Findings and Selected Policy Implications

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  • Ben Siu Cheong Fung

    (Bank of Canada)

  • Scott Mitnick

    (Federal Reserve Bank)

  • Eli M Remolona

    (Bank for International Settlements)

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This chapter was published in:

  • Bank for International Settlements, 1999. "Market Liquidity: Research Findings and Selected Policy Implications," CGFS Papers, Bank for International Settlements, number 11, July.
    This item is provided by Bank for International Settlements in its series CGFS Papers chapters with number 11-05.

    Handle: RePEc:bis:biscgc:11-05

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    1. Tzavalis, Elias & Wickens, Michael R, 1997. "Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 364-80, August.
    2. Eli M. Remolona & Michael R. Wickens & Frank F. Gong, 1998. "What was the market's view of U.K. monetary policy? Estimating inflation risk and expected inflation with indexed bonds," Staff Reports 57, Federal Reserve Bank of New York.
    3. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
    4. Donald B. Keim & Robert F. Stambaugh, . "Predicting Returns in the Stock and Bond Markets," Rodney L. White Center for Financial Research Working Papers 15-85, Wharton School Rodney L. White Center for Financial Research.
    5. Fama, Eugene F., 1984. "The information in the term structure," Journal of Financial Economics, Elsevier, vol. 13(4), pages 509-528, December.
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