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Co-movement of revisions in short- and long-term inflation expectations

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  • António R. Antunes

Abstract

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  • António R. Antunes, 2015. "Co-movement of revisions in short- and long-term inflation expectations," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  • Handle: RePEc:ptu:bdpart:e201501
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    File URL: https://www.bportugal.pt/sites/default/files/anexos/papers/re201501_e.pdf
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    References listed on IDEAS

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    1. Refet S Gürkaynak & Andrew Levin & Eric Swanson, 2010. "Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from the U.S., UK, and Sweden," Journal of the European Economic Association, MIT Press, vol. 8(6), pages 1208-1242, December.
    2. Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
    3. Nautz, Dieter & Strohsal, Till, 2015. "Are US inflation expectations re-anchored?," Economics Letters, Elsevier, vol. 127(C), pages 6-9.
    4. Dong Hwan Oh & Andrew J. Patton, 2013. "Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads," Working Papers 13-30, Duke University, Department of Economics.
    5. Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.
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    Cited by:

    1. Filippo Natoli & Laura Sigalotti, 2018. "Tail Co-movement in Inflation Expectations as an Indicator of Anchoring," International Journal of Central Banking, International Journal of Central Banking, vol. 14(1), pages 35-71, January.
    2. repec:ibn:ibrjnl:v:10:y:2017:i:12:p:1-21 is not listed on IDEAS

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