Pricing the term structure of inflation risk premia: Theory and evidence from TIPS
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Cited by:
- Auckenthaler, Julia & Kupfer, Alexander & Sendlhofer, Rupert, 2015. "The impact of liquidity on inflation-linked bonds: A hypothetical indexed bonds approach," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 139-154.
- Güler, Mustafa Haluk & Keleş, Gürsu & Polat, Tandoğan, 2017. "An empirical decomposition of the liquidity premium in breakeven inflation rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 185-192.
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- Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2017.
"Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del Gobierno colombiano,"
REVISTA DESARROLLO Y SOCIEDAD,
UNIVERSIDAD DE LOS ANDES-CEDE, vol. 78, February.
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- Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2015. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano," Borradores de Economia 903, Banco de la Republica de Colombia.
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"(Un)expected Monetary Policy Shocks and Term Premia,"
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Keywords
Quadratic term structure model of interest rates TIPS Unscented Kalman filter Inflation risk premium;Statistics
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