Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves
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- 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.
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More about this item
KeywordsInflation expectations; inflation risk premia; affine term structure model;
- C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-02-28 (All new papers)
- NEP-CBA-2009-02-28 (Central Banking)
- NEP-MAC-2009-02-28 (Macroeconomics)
- NEP-MON-2009-02-28 (Monetary Economics)
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