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


  • António R. Antunes


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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, Banco de Portugal, Economics and Research Department.
  • Handle: RePEc:ptu:bdpart:e201501

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    References listed on IDEAS

    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. Natoli, Filippo & Sigalotti, Laura, 2017. "Tail co-movement in inflation expectations as an indicator of anchoring," Working Paper Series 1997, European Central Bank.
    2. repec:ibn:ibrjnl:v:10:y:2017:i:12:p:1-21 is not listed on IDEAS

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