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Treasury bond yields and long-run inflation expectations

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  • Jens H. E. Christensen

Abstract

This Economic Letter uses data on nominal and real Treasury yields to study the behavior of market-implied expected inflation since the beginning of 2007.

Suggested Citation

  • Jens H. E. Christensen, 2008. "Treasury bond yields and long-run inflation expectations," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue aug15.
  • Handle: RePEc:fip:fedfel:y:2008:i:aug15:n:2008-25
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    File URL: http://www.frbsf.org/publications/economics/letter/2008/el2008-25.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. Refet S. Gürkaynak & Brian Sack & Jonathan H. Wright, 2010. "The TIPS Yield Curve and Inflation Compensation," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(1), pages 70-92, January.
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    Keywords

    Inflation (Finance) ; Treasury bonds;

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