Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds
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- Richard Finlay & Sebastian Wende, 2012. "Estimating Inflation Expectations with a Limited Number of Inflation-Indexed Bonds," International Journal of Central Banking, International Journal of Central Banking, vol. 8(2), pages 111-142, June.
References listed on IDEAS
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Camba-Méndez, Gonzalo & Werner, Thomas, 2017. "The inflation risk premium in the post-Lehman period," Working Paper Series 2033, European Central Bank.
- David Norman & Anthony Richards, 2012. "The Forecasting Performance of Single Equation Models of Inflation," The Economic Record, The Economic Society of Australia, vol. 88(280), pages 64-78, March.
- Will Devlin & Deepika Patwardhan, 2012. "Measuring market inflation expectations," Economic Roundup, The Treasury, Australian Government, issue 2, pages 5-17, August.
- Tahlee Stone, 2016. "The Sensitivity of Personal Income to GDP Growth," RBA Bulletin, Reserve Bank of Australia, pages 1-9, December.
- Tosapol Apaitan, 2015. "Extracting Market Inflation Expectations: A Semi-structural Macro-finance Term Structure Model," PIER Discussion Papers 4., Puey Ungphakorn Institute for Economic Research, revised Sep 2015.
- Angus Moore, 2016. "Measures of Inflation Expectations in Australia," RBA Bulletin, Reserve Bank of Australia, pages 23-31, December.
More about this item
Keywordsinflation expectations; inflation risk premia; affine term structure model; break-even inflation; non-linear Kalman filter;
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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