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Inflation Expectations and Risks in a Two-Country Affine-Yield Model

In: Market Liquidity: Research Findings and Selected Policy Implications


  • Ben Siu Cheong Fung

    (Bank of Canada)

  • Scott Mitnick

    (Federal Reserve Bank)

  • Eli M Remolona

    (Bank for International Settlements)


No abstract is available for this item.

Suggested Citation

  • Ben Siu Cheong Fung & Scott Mitnick & Eli M Remolona, 1999. "Inflation Expectations and Risks in a Two-Country Affine-Yield Model," CGFS Papers chapters,in: Bank for International Settlements (ed.), Market Liquidity: Research Findings and Selected Policy Implications, volume 11, pages 1-23 Bank for International Settlements.
  • Handle: RePEc:bis:biscgc:11-05

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    References listed on IDEAS

    1. Keim, Donald B. & Stambaugh, Robert F., 1986. "Predicting returns in the stock and bond markets," Journal of Financial Economics, Elsevier, vol. 17(2), pages 357-390, December.
    2. Tzavalis, Elias & Wickens, Michael R, 1997. "Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 364-380, August.
    3. Eli M. Remolona & Michael Wickens & Frank F. Gong, 1998. "What was the market's view of U.K. monetary policy? Estimating inflation risk and expected inflation with indexed bonds," Staff Reports 57, Federal Reserve Bank of New York.
    4. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
    5. Fama, Eugene F., 1984. "The information in the term structure," Journal of Financial Economics, Elsevier, vol. 13(4), pages 509-528, December.
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