Understanding the real rate conundrum: an application of no-arbitrage finance models to the UK real yield curve
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Cited by:
- Iryna Kaminska & Dimitri Vayanos & Gabriele Zinna, 2011.
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- Kaminska, Iryna & Vayanos, Dimitri & Zinna, Gabriele, 2011. "Preferred-habitat investors and the US term structure of real rates," LSE Research Online Documents on Economics 119074, London School of Economics and Political Science, LSE Library.
- Bianchi, Francesco & Mumtaz, Haroon & Surico, Paolo, 2009.
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- Francesco Bianchi & Haroon Mumtaz, 2010. "Dynamics of the Term Structure of UK Interest Rates," Working Papers 10-38, Duke University, Department of Economics.
- Mardi Dungey & M.Tugrul Vehbi, 2011.
"A SVECM Model of the UK Economy and The Term Premium,"
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2011-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Dungey, Mardi & Tugrul Vehbi, M, 2011. "A SVECM Model of the UK Economy and The Term Premium," Working Papers 11610, University of Tasmania, Tasmanian School of Business and Economics.
- Iryna Kaminska & Gabriele Zinna, 2020.
"Official Demand for U.S. Debt: Implications for U.S. Real Rates,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(2-3), pages 323-364, March.
- Kaminska, Iryna & Zinna, Gabriele, 2019. "Official demand for US debt: implications for US real rates," Bank of England working papers 796, Bank of England.
- Iryna Kaminska & Andrew Meldrum & James Smith, 2013.
"A Global Model Of International Yield Curves: No‐Arbitrage Term Structure Approach,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 18(4), pages 352-374, October.
- Kaminska, Iryna & Meldrum, Andrew & Smith, James, 2011. "A global model of international yield curves: no-arbitrage term structure approach," Bank of England working papers 419, Bank of England.
- Meredith J. Beechey, 2008. "Lowering the anchor: how the Bank of England's inflation-targeting policies have shaped inflation expectations and perceptions of inflation risk," Finance and Economics Discussion Series 2008-44, Board of Governors of the Federal Reserve System (U.S.).
- Meldrum, Andrew & Roberts-Sklar, Matt, 2015. "Long-run priors for term structure models," Bank of England working papers 575, Bank of England.
- Joyce, Michael A.S. & Lildholdt, Peter & Sorensen, Steffen, 2010.
"Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves,"
Journal of Banking & Finance, Elsevier, vol. 34(2), pages 281-294, February.
- Joyce, Michael & Lildholdt, Peter & Sorensen, Steffen, 2009. "Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves," Bank of England working papers 360, Bank of England.
- Gabriele Zinna, 2014. "Price pressures in the UK index-linked market: an empirical investigation," Temi di discussione (Economic working papers) 968, Bank of Italy, Economic Research and International Relations Area.
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More about this item
Keywords
Yield curve; term premia; conundrum;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2009-01-03 (Central Banking)
- NEP-MAC-2009-01-03 (Macroeconomics)
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