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A technique for extracting a measure of expected inflation from the interest rate term structure

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  • Jeffrey A. Frankel

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File URL: http://www.federalreserve.gov/pubs/ifdp/1979/148/ifdp148.pdf
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Bibliographic Info

Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 148.

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Date of creation: 1979
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Handle: RePEc:fip:fedgif:148

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Cited by:
  1. James H. Stock & Mark W. Watson, 2001. "Forecasting output and inflation: the role of asset prices," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  2. Christopher Ragan, . "Deriving Agents' Inflation Forecasts from the Term Structure of Interest Rates," Working Papers 95-1, Bank of Canada.
  3. Jeffrey A. Frankel & Cara S. Lown, 1991. "An Indicator of Future Inflation Extracted From the Steepness of the Interest Rate Yield Curve Along Its Entire Length," NBER Working Papers 3751, National Bureau of Economic Research, Inc.
  4. Houston H. Stokes, 1990. "Measuring Expected Inflation; Further Tests in the Frequency Domain of a Proposed New Measure," Eastern Economic Journal, Eastern Economic Association, vol. 16(4), pages 339-348, Oct-Dec.
  5. Maveyraud-Tricoire, Samuel & Rous, Philippe, 2009. "RIP and the shift toward a monetary union: Looking for a "euro effect" by a structural break analysis with panel data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(2), pages 336-350, April.
  6. Francis Breedon & Jag Chadha, 1997. "The Information Content of the Inflation Term Structure," Bank of England working papers 75, Bank of England.
  7. Al Awad, Mouawiya & Goodwin, Barry K., 1998. "Dynamic linkages among real interest rates in international capital markets," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 881-907, December.
  8. Al-Awad, Mouawiya & Grennes, Thomas J., 2002. "Real interest parity and transaction costs for the group of 10 countries," International Review of Economics & Finance, Elsevier, vol. 11(4), pages 363-372.
  9. Mancuso, Anthony J. & Goodwin, Barry K. & Grennes, Thomas J., 2003. "Nonlinear aspects of capital market integration and real interest rate equalization," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 283-303.

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