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
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Cited by:
- 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 (Print copy discontinued), Reserve Bank of Australia, pages 1-9, December.
- Christensen, Jens H. E. & Mirkov, Nikola & Zhang, Xin, 2024. "Quantitative Easing and the Supply of Safe Assets: Evidence from International Bond Safety Premia," Working Paper Series 440, Sveriges Riksbank (Central Bank of Sweden).
- Christensen, Jens H.E. & Spiegel, Mark M., 2023.
"Central bank credibility during COVID-19: Evidence from Japan,"
Journal of International Money and Finance, Elsevier, vol. 131(C).
- Jens H. E. Christensen & Mark M. Spiegel, 2021. "Central Bank Credibility During COVID-19: Evidence from Japan," Working Paper Series 2021-24, Federal Reserve Bank of San Francisco.
- Ceballos, Luis & Christensen, Jens H.E. & Romero, Damian, 2025.
"A post-pandemic new normal for interest rates in emerging bond markets? Evidence from Chile,"
Journal of International Money and Finance, Elsevier, vol. 150(C).
- Luis Ceballos & Jens H. E. Christensen & Damian Romero, 2024. "A Post-Pandemic New Normal for Interest Rates in Emerging Bond Markets? Evidence from Chile," Working Paper Series 2024-04, Federal Reserve Bank of San Francisco.
- 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.
- Andreasen, Martin M. & Christensen, Jens H.E. & Rudebusch, Glenn D., 2019. "Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices," Journal of Econometrics, Elsevier, vol. 212(1), pages 26-46.
- Camba-Méndez, Gonzalo & Werner, Thomas, 2017. "The inflation risk premium in the post-Lehman period," Working Paper Series 2033, European Central Bank.
- Jonathan Hambur & Richard Finlay, 2018. "Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia," RBA Research Discussion Papers rdp2018-02, Reserve Bank of Australia.
- Christensen, Jens H.E. & Spiegel, Mark M., 2022. "Monetary reforms and inflation expectations in Japan: Evidence from inflation-indexed bonds," Journal of Econometrics, Elsevier, vol. 231(2), pages 410-431.
- Angus Moore, 2016. "Measures of Inflation Expectations in Australia," RBA Bulletin (Print copy discontinued), Reserve Bank of Australia, pages 23-31, 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.
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More about this item
Keywords
inflation expectations; inflation risk premia; affine term structure model; break-even inflation; non-linear Kalman filter;All these keywords.
JEL classification:
- 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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