Inflation expectations, real rates, and risk premia: evidence from inflation swaps
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- Joseph Haubrich & George Pennacchi & Peter Ritchken, 2012. "Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps," Review of Financial Studies, Society for Financial Studies, vol. 25(5), pages 1588-1629.
References listed on IDEAS
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- Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc.
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More about this item
Keywords
Inflation (Finance); Interest rates; Asset pricing;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2011-03-26 (Central Banking)
- NEP-MAC-2011-03-26 (Macroeconomics)
- NEP-MON-2011-03-26 (Monetary Economics)
- NEP-UPT-2011-03-26 (Utility Models & Prospect Theory)
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