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Citations for "The Term Structure of Inflation Expectations"

by Philippe Mueller & Mikhail Chernov

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  1. Caroline JARDET & Alain MONFORT & Fulvio PEGORARO, 2011. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working Papers, Centre de Recherche en Economie et Statistique 2011-03, Centre de Recherche en Economie et Statistique.
  2. Backus, David & Chernov, Mikhail & Zin, Stanley E., 2011. "Sources of entropy in representative agent models," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8488, C.E.P.R. Discussion Papers.
  3. David Backus & Mikhail Chernov & Stanley Zin, 2013. "Identifying Taylor Rules in Macro-finance Models," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 13-12, New York University, Leonard N. Stern School of Business, Department of Economics.
  4. 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, Board of Governors of the Federal Reserve System (U.S.) 2008-30, Board of Governors of the Federal Reserve System (U.S.).
  5. Altavilla, Carlo & Giacomini, Raffaella & Ragusa, Giuseppe, 2013. "Anchoring the Yield Curve Using Survey Expectations," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9738, C.E.P.R. Discussion Papers.
  6. Guimarães, Rodrigo, 2014. "Expectations, risk premia and information spanning in dynamic term structure model estimation," Bank of England working papers, Bank of England 489, Bank of England.
  7. Marcello Pericoli, 2012. "Expected inflation and inflation risk premium in the euro area and in the United States," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 842, Bank of Italy, Economic Research and International Relations Area.
  8. Barillas, Francisco & Nimark, Kristoffer P, 2013. "Speculation, Risk Premia and Expectations in the Yield Curve," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9755, C.E.P.R. Discussion Papers.
  9. Glenn D. Rudebusch, 2010. "Macro-finance models of interest rates and the economy," Working Paper Series, Federal Reserve Bank of San Francisco 2010-01, Federal Reserve Bank of San Francisco.
  10. Luis Gil‐Alana & Antonio Moreno & Fernando Pérez de Gracia, 2012. "Exploring Survey‐Based Inflation Forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 31(6), pages 524-539, 09.
  11. Patton, Andrew J & Timmermann, Allan G, 2007. "Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6526, C.E.P.R. Discussion Papers.
  12. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007. "The determinants of stock and bond return comovements," Working Paper Research, National Bank of Belgium 119, National Bank of Belgium.
  13. Michael Abrahams & Tobias Adrian & Richard K. Crump & Emanuel Moench, 2012. "Pricing TIPS and treasuries with linear regressions," Staff Reports, Federal Reserve Bank of New York 570, Federal Reserve Bank of New York.
  14. Kees E. Bouwman & Elvira Sojli & Wing Wah Tham, 2012. "Aggregate Stock Market Illiquidity and Bond Risk Premia," Tinbergen Institute Discussion Papers, Tinbergen Institute 12-140/IV/DSF46, Tinbergen Institute.
  15. Michael Hatcher, 2013. "The inflation risk premium on government debt in an overlapping generations model," Working Papers, Business School - Economics, University of Glasgow 2013_17, Business School - Economics, University of Glasgow.
  16. Bruno Feunou & Jean-Sébastien Fontaine, 2012. "Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields," Working Papers, Bank of Canada 12-37, Bank of Canada.
  17. Marcello Pericoli, 2013. "Macroeconomic and monetary policy surprises and the term structure of interest rates," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 927, Bank of Italy, Economic Research and International Relations Area.
  18. Olena Chyruk & Luca Benzoni & Andrea Ajello, 2012. "Core and `Crust': Consumer Prices and the Term Structure of Interest Rates," 2012 Meeting Papers, Society for Economic Dynamics 922, Society for Economic Dynamics.
  19. Guimarães , Rodrigo, 2012. "What accounts for the fall in UK ten-year government bond yields?," Bank of England Quarterly Bulletin, Bank of England, Bank of England, vol. 52(3), pages 213-223.
  20. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2013. "Deflation Risk," NBER Working Papers 19238, National Bureau of Economic Research, Inc.
  21. Benlagha, N., 2013. "Co-movement of Index linked bonds and conventional bonds in France: Subprime crisis and Structural Break, 2003-01, 2012-04," Applied Econometrics and International Development, Euro-American Association of Economic Development, Euro-American Association of Economic Development, vol. 13(1), pages 55-66.
  22. Todd E. Clark & Troy Davig, 2008. "An empirical assessment of the relationships among inflation and short- and long-term expectations," Research Working Paper, Federal Reserve Bank of Kansas City RWP 08-05, Federal Reserve Bank of Kansas City.
  23. Gregory R. Duffee, 2012. "Forecasting interest rates," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics 599, The Johns Hopkins University,Department of Economics.
  24. Juneja, Januj, 2014. "Term structure estimation in the presence of autocorrelation," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 28(C), pages 119-129.
  25. Vadim Khramov, 2013. "Estimating Parameters of Short-Term Real Interest Rate Models," IMF Working Papers, International Monetary Fund 13/212, International Monetary Fund.
  26. Antonio Diez de los Rios, 2013. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Working Papers, Bank of Canada 13-10, Bank of Canada.
  27. Ahmed, Javed I., 2014. "Competition in lending and credit ratings," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2014-23, Board of Governors of the Federal Reserve System (U.S.).
  28. Fernando M. Duarte, 2013. "Inflation risk and the cross section of stock returns," Staff Reports, Federal Reserve Bank of New York 621, Federal Reserve Bank of New York.
  29. Ruslan Bikbov & Mikhail Chernov, 2010. "No-arbitrage macroeconomic determinants of the yield curve," Post-Print, HAL peer-00732517, HAL.
  30. Felix Geiger, 2009. "International Interest-Rate Risk Premia in Affine Term Structure Models," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim, Department of Economics, University of Hohenheim, Germany 316/2009, Department of Economics, University of Hohenheim, Germany.
  31. D'Amico, Stefania & Kim, Don H. & Wei, Min, 2014. "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2014-24, Board of Governors of the Federal Reserve System (U.S.).
  32. Gregory H. Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Working Papers, Bank of Canada 12-5, Bank of Canada.
  33. Geert Bekaert & Xiaozheng Wang, 2010. "Inflation risk and the inflation risk premium," Economic Policy, CEPR;CES;MSH, CEPR;CES;MSH, vol. 25, pages 755-806, October.
  34. Olesya V. Grishchenko & Jing-zhi Huang, 2012. "Inflation risk premium: evidence from the TIPS market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2012-06, Board of Governors of the Federal Reserve System (U.S.).
  35. Jens H.E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2012. "Pricing deflation risk with U.S. Treasury yields," Working Paper Series, Federal Reserve Bank of San Francisco 2012-07, Federal Reserve Bank of San Francisco.
  36. García, Juan Angel & Werner, Thomas, 2010. "Inflation risks and inflation risk premia," Working Paper Series, European Central Bank 1162, European Central Bank.
  37. Sumru Altug & Cem Cakmakli, 2014. "Inflation Targeting and Inflation Expectations: Evidence for Brazil and Turkey," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 1413, Koc University-TUSIAD Economic Research Forum.