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The term structure of real rates and expected inflation

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  1. repec:fgv:epgrbe:v:67:n:2:a:6 is not listed on IDEAS
  2. Cláudia Simões & Luís Oliveira & Jorge M. Bravo, 2021. "Immunization Strategies for Funding Multiple Inflation-Linked Retirement Income Benefits," Risks, MDPI, vol. 9(4), pages 1-28, March.
  3. Breach, Tomas & D’Amico, Stefania & Orphanides, Athanasios, 2020. "The term structure and inflation uncertainty," Journal of Financial Economics, Elsevier, vol. 138(2), pages 388-414.
  4. Iryna Kaminska & Dimitri Vayanos & Gabriele Zinna, 2011. "Preferred-Habitat Investors and the US Term Structure of Real Rates," FMG Discussion Papers dp674, Financial Markets Group.
  5. Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2010. "New Keynesian Macroeconomics and the Term Structure," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(1), pages 33-62, February.
  6. Theofanis Archontakis & Wolfgang Lemke, 2008. "Threshold Dynamics of Short‐term Interest Rates: Empirical Evidence and Implications for the Term Structure," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 37(1), pages 75-117, February.
  7. Azamat Abdymomunov & Kyu Ho Kang & Ki Jeong Kim, 2014. "Forecasting the Term Structure of Government Bond Yields Using Credit Spreads and Structural Breaks," Working Papers 2014-19, Economic Research Institute, Bank of Korea.
  8. Abdymomunov, Azamat & Kang, Kyu Ho & Kim, Ki Jeong, 2016. "Can credit spreads help predict a yield curve?," Journal of International Money and Finance, Elsevier, vol. 64(C), pages 39-61.
  9. Luis F. Céspedes & Javier García-Cicco & Diego Saravia, 2014. "Monetary Policy at the Zero Lower Bound: The Chilean Experience," Central Banking, Analysis, and Economic Policies Book Series, in: Sofía Bauducco & Lawrence Christiano & Claudio Raddatz (ed.),Macroeconomic and Financial Stability: challenges for Monetary Policy, edition 1, volume 19, chapter 13, pages 427-460, Central Bank of Chile.
  10. Olesya Grishchenko & Sarah Mouabbi & Jean‐Paul Renne, 2019. "Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(5), pages 1053-1096, August.
  11. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2013. "The Wealth-Consumption Ratio," The Review of Asset Pricing Studies, Oxford University Press, vol. 3(1), pages 38-94.
  12. Monfort, A. & Pegoraro, F., 2007. "Switching VARMA Term Structure Models - Extended Version," Working papers 191, Banque de France.
  13. Matthew Wang & Yi-Hong Lin & Ilya Mikhelson, 2020. "Regime-Switching Factor Investing with Hidden Markov Models," JRFM, MDPI, vol. 13(12), pages 1-15, December.
  14. H. Bertholon & A. Monfort & F. Pegoraro, 2008. "Econometric Asset Pricing Modelling," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(4), pages 407-458, Fall.
  15. Andreas Reschreiter, 2010. "Indexed bonds and revisions of inflation expectations," Annals of Finance, Springer, vol. 6(4), pages 537-554, October.
  16. Manqoba Ntshakala & Laurence Harris, 2018. "The information content of the yield spread about future inflation in South Africa," WIDER Working Paper Series wp-2018-63, World Institute for Development Economic Research (UNU-WIDER).
  17. Bikbov, Ruslan & Chernov, Mikhail, 2010. "No-arbitrage macroeconomic determinants of the yield curve," Journal of Econometrics, Elsevier, vol. 159(1), pages 166-182, November.
  18. Alain Monfort & Jean-Paul Renne, 2013. "Default, Liquidity, and Crises: an Econometric Framework," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 11(2), pages 221-262, March.
  19. René Garcia & Richard Luger, 2007. "The Canadian macroeconomy and the yield curve: an equilibrium‐based approach," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 40(2), pages 561-583, May.
  20. Wolfgang Lemke & Theofanis Archontakis, 2008. "Bond pricing when the short-term interest rate follows a threshold process," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 811-822.
  21. Daniel L. Tortorice & Arben Kita, 2018. "Can Risk Models Extract Inflation Expectations from Financial Market Data? Evidence from the Inflation Protected Securities of Six Countries," Working Papers 1801, College of the Holy Cross, Department of Economics.
  22. Ed Westerhout & Ona Ciocyte, 2017. "The role of inflation-linked bonds," CPB Discussion Paper 344, CPB Netherlands Bureau for Economic Policy Analysis.
  23. Richard K. Crump & Stefano Eusepi & Emanuel Moench, 2016. "The term structure of expectations and bond yields," Staff Reports 775, Federal Reserve Bank of New York.
  24. Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2011. "A reduced form model of default spreads with Markov-switching macroeconomic factors," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1984-2000, August.
  25. Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2009. "Risk, uncertainty, and asset prices," Journal of Financial Economics, Elsevier, vol. 91(1), pages 59-82, January.
  26. Matteo Modena, 2008. "An Empirical Analysis of the Curvature Factor of the Term Structure of Interest Rates," Working Papers 2008_35, Business School - Economics, University of Glasgow.
  27. Adrien Verdelhan, 2010. "A Habit‐Based Explanation of the Exchange Rate Risk Premium," Journal of Finance, American Finance Association, vol. 65(1), pages 123-146, February.
  28. Chen, Ren-Raw & Liu, Bo & Cheng, Xiaolin, 2010. "Pricing the term structure of inflation risk premia: Theory and evidence from TIPS," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 702-721, September.
  29. Michael Hatcher, 2013. "The inflation risk premium on government debt in an overlapping generations model," Working Papers 2013_17, Business School - Economics, University of Glasgow.
  30. Bekaert, Geert & Engstrom, Eric, 2010. "Inflation and the stock market: Understanding the "Fed Model"," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 278-294, April.
  31. Iryna Kaminska, 2013. "A No-Arbitrage Structural Vector Autoregressive Model of the UK Yield Curve," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(5), pages 680-704, October.
  32. Kim, Young Min & Kang, Kyu Ho & Ka, Kook, 2020. "Do bond markets find inflation targets credible? Evidence from five inflation-targeting countries," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 66-84.
  33. Roel van Elk & Marc van der Steeg & Dinand Webbink, 2013. "The effects of a special program for multi-problem school dropouts on educational enrolment, employment and criminal behaviour; Evidence from a field experiment," CPB Discussion Paper 241.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  34. Glenn D. Rudebusch, 2010. "Macro‐Finance Models Of Interest Rates And The Economy," Manchester School, University of Manchester, vol. 78(s1), pages 25-52, September.
  35. Koeda, Junko, 2013. "Endogenous monetary policy shifts and the term structure: Evidence from Japanese government bond yields," Journal of the Japanese and International Economies, Elsevier, vol. 29(C), pages 170-188.
  36. Gil-Alana, Luis A. & Moreno, Antonio, 2012. "Uncovering the US term premium: An alternative route," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1181-1193.
  37. Andrew Levin & John B. Taylor, 2013. "Falling Behind the Curve: A Positive Analysis of Stop-Start Monetary Policies and the Great Inflation," NBER Chapters, in: The Great Inflation: The Rebirth of Modern Central Banking, pages 217-244, National Bureau of Economic Research, Inc.
  38. Peter Vlaar, 2007. "Term Structure Modeling for Pension Funds:What to do in Practice?," DNB Working Papers 123, Netherlands Central Bank, Research Department.
  39. Koijen, Ralph S.J. & Hemert, Otto Van & Nieuwerburgh, Stijn Van, 2009. "Mortgage timing," Journal of Financial Economics, Elsevier, vol. 93(2), pages 292-324, August.
  40. Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.
  41. Marcelo Ferman, 2011. "Switching Monetary Policy Regimes and the Nominal Term Structure," FMG Discussion Papers dp678, Financial Markets Group.
  42. Michael D. Bauer & Glenn D. Rudebusch, 2020. "Interest Rates under Falling Stars," American Economic Review, American Economic Association, vol. 110(5), pages 1316-1354, May.
  43. Zolotoy, Leon & Frederickson, James R. & Lyon, John D., 2017. "Aggregate earnings and stock market returns: The good, the bad, and the state-dependent," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 157-175.
  44. William Dudley & Michelle Steinberg Ezer & Jennifer E. Roush, 2009. "The case for TIPS: an examination of the costs and benefits," Economic Policy Review, Federal Reserve Bank of New York, vol. 15(Jul), pages 1-17.
  45. Coroneo, Laura & Nyholm, Ken & Vidova-Koleva, Rositsa, 2011. "How arbitrage-free is the Nelson-Siegel model?," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 393-407, June.
  46. Westerhout, Ed & Ciocyte, Ona, 2017. "The Role of Inflation-Linked Bonds. Increasing, but Still Modest," Discussion Paper 2017-027, Tilburg University, Center for Economic Research.
  47. Boris Cournède & Diego Moccero, 2009. "Is there a Case for Price-level Targeting?," OECD Economics Department Working Papers 721, OECD Publishing.
  48. Kyungbo Park & Hangook Kim & Jeonghwa Cha, 2023. "An Exploratory Study on the Development of a Crisis Index: Focusing on South Korea’s Petroleum Industry," Energies, MDPI, vol. 16(14), pages 1-24, July.
  49. Amisano, Gianni & Tristani, Oreste, 2019. "Uncertainty shocks, monetary policy and long-term interest rates," Working Paper Series 2279, European Central Bank.
  50. Tobias Adrian & Hao Wu, 2009. "The term structure of inflation expectations," Staff Reports 362, Federal Reserve Bank of New York.
  51. Stéphane Guibaud & Yves Nosbusch & Dimitri Vayanos, 2013. "Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt," The Review of Financial Studies, Society for Financial Studies, vol. 26(8), pages 1914-1961.
  52. Yüksel, Ebru & Metin-Ozcan, Kivilcim & Hatipoglu, Ozan, 2013. "A survey on time-varying parameter Taylor rule: A model modified with interest rate pass-through," Economic Systems, Elsevier, vol. 37(1), pages 122-134.
  53. Demian Pouzo & Zacharias Psaradakis & Martin Sola, 2022. "Maximum Likelihood Estimation in Markov Regime‐Switching Models With Covariate‐Dependent Transition Probabilities," Econometrica, Econometric Society, vol. 90(4), pages 1681-1710, July.
  54. Bulkley, George & Harris, Richard D.F. & Nawosah, Vivekanand, 2015. "Can behavioral biases explain the rejections of the expectation hypothesis of the term structure of interest rates?," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 179-193.
  55. Jang, Bong-Gyu & Tae, Hyeon-Wuk, 2018. "Option pricing under regime switching: Integration over simplexes method," Finance Research Letters, Elsevier, vol. 24(C), pages 301-312.
  56. Garriga, Carlos & Kydland, Finn E. & Šustek, Roman, 2021. "MoNK: Mortgages in a New-Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 123(C).
  57. Daniela Kubudi & José Valentim Vicente, 2016. "A Joint Model of Nominal and Real Yield Curves," Working Papers Series 452, Central Bank of Brazil, Research Department.
  58. Andrew Ang & Allan Timmermann, 2012. "Regime Changes and Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 313-337, October.
  59. Gianni De Nicolò & Iryna Ivaschenko, 2009. "Global Liquidity, Risk Premiums and Growth Opportunities," CESifo Working Paper Series 2598, CESifo.
  60. Andrew Ang & Sen Dong & Monika Piazzesi, 2005. "No-arbitrage Taylor rules," Proceedings, Federal Reserve Bank of San Francisco.
  61. Peter Spreij & Enno Veerman & Peter Vlaar, 2008. "Multivariate Feller conditions in term structure models: Why do(n't) we care?," Papers 0804.1039, arXiv.org.
  62. Antonios Sangvinatsos & Jessica A. Wachter, 2003. "Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors," NBER Working Papers 10086, National Bureau of Economic Research, Inc.
  63. Haensly, Paul J., 2016. "Is a pure TIPS strategy truly risk free?," Review of Financial Economics, Elsevier, vol. 28(C), pages 1-20.
  64. Andreasen, Martin M., 2012. "An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia," European Economic Review, Elsevier, vol. 56(8), pages 1656-1674.
  65. Paul J. Haensly, 2016. "Is a pure TIPS strategy truly risk free?," Review of Financial Economics, John Wiley & Sons, vol. 28(1), pages 1-20, January.
  66. Ben Ammar, Semir & Eling, Martin, 2015. "Common risk factors of infrastructure investments," Energy Economics, Elsevier, vol. 49(C), pages 257-273.
  67. Goliński, Adam, 2021. "Monetary policy at the zero lower bound: Information in the Federal Reserve’s balance sheet," European Economic Review, Elsevier, vol. 131(C).
  68. Md Hamid Uddin & Sarkar H. Kabir & Mohammad Kabir Hassan & Mohammed S. Hossain & Jia Liu, 2022. "Why do sukuks (Islamic bonds) need a different pricing model?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 2210-2234, April.
  69. El-Shagi, Makram, 2011. "Inflation expectations: Does the market beat econometric forecasts?," The North American Journal of Economics and Finance, Elsevier, vol. 22(3), pages 298-319.
  70. 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.
  71. Refet S. Gürkaynak & Brian P. Sack & Eric T. Swanson, 2003. "The excess sensitivity of long-term interest rates: evidence and implications for macroeconomic models," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  72. Chrétien, Stéphane, 2012. "Bounds on the autocorrelation of admissible stochastic discount factors," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1943-1962.
  73. Karahan, Cenk C. & Soykök, Emre, 2023. "On illiquidity of an emerging sovereign bond market," Economic Systems, Elsevier, vol. 47(2).
  74. Cieslak, Anna & Schrimpf, Andreas, 2019. "Non-monetary news in central bank communication," Journal of International Economics, Elsevier, vol. 118(C), pages 293-315.
  75. Baele, Lieven & Bekaert, Geert & Cho, Seonghoon & Inghelbrecht, Koen & Moreno, Antonio, 2015. "Macroeconomic regimes," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 51-71.
  76. Gilbert Cette & Marielle de Jong, 2013. "Market-implied inflation and growth rates adversely affected by the Brent," Journal of Asset Management, Palgrave Macmillan, vol. 14(3), pages 133-139, June.
  77. Hordahl, Peter & Tristani, Oreste & Vestin, David, 2006. "A joint econometric model of macroeconomic and term-structure dynamics," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 405-444.
  78. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.
  79. Peter Hördahl & Oreste Tristani & David Vestin, 2006. "The term structure of inflation risk premia and macroeconomic dynamics," Computing in Economics and Finance 2006 203, Society for Computational Economics.
  80. James D. Hamilton & Tatsuyoshi Okimoto, 2011. "Sources of variation in holding returns for fed funds futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(3), pages 205-229, March.
  81. Ricardo Gimeno & José Manuel Marqués, 2009. "Extraction of financial market expectations about inflation and interest rates from a liquid market," Working Papers 0906, Banco de España.
  82. Vicente, José Valentim Machado & Guillen, Osmani Teixeira de Carvalho, 2013. "Do inflation-linked bonds contain information about future inflation?," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(2), June.
  83. Carl Chiarella & Willi Semmler & Chih-Ying Hsiao & Lebogang Mateane, 2016. "Asset Accumulation and Portfolio Decisions Under Inflation Risk," Dynamic Modeling and Econometrics in Economics and Finance, in: Sustainable Asset Accumulation and Dynamic Portfolio Decisions, chapter 0, pages 139-177, Springer.
  84. Goliński, Adam & Zaffaroni, Paolo, 2016. "Long memory affine term structure models," Journal of Econometrics, Elsevier, vol. 191(1), pages 33-56.
  85. Tom Engsted & Thomas Q. Pedersen, 2018. "Disappearing money illusion," CREATES Research Papers 2018-24, Department of Economics and Business Economics, Aarhus University.
  86. Bikbov, Ruslan & Chernov, Mikhail, 2013. "Monetary policy regimes and the term structure of interest rates," Journal of Econometrics, Elsevier, vol. 174(1), pages 27-43.
  87. Lakdawala, Aeimit & Wu, Shu, 2017. "Federal Reserve credibility and the term structure of interest rates," European Economic Review, Elsevier, vol. 100(C), pages 364-389.
  88. García-Verdú Santiago, 2010. "Equilibrium yield curves under regime switching," Working Papers 2010-08, Banco de México.
  89. Illenin Kondo & Fabrizio Perri & Sewon Hur, 2016. "Inflation, Debt, and Default," 2016 Meeting Papers 1610, Society for Economic Dynamics.
  90. Don H. Kim, 2008. "Challenges in macro-finance modeling," Finance and Economics Discussion Series 2008-06, Board of Governors of the Federal Reserve System (U.S.).
  91. Juha Seppala & Federico Ravenna, 2007. "Monetary Policy, Expected Inflation, and Inflation Risk Premium," 2007 Meeting Papers 513, Society for Economic Dynamics.
  92. Phuong Ngo & Francois Gourio, 2016. "Risk Premia at the ZLB: a macroeconomic interpretation," 2016 Meeting Papers 1585, Society for Economic Dynamics.
  93. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Wese Simen, Chardin, 2019. "The risk premium of gold," Journal of International Money and Finance, Elsevier, vol. 94(C), pages 140-159.
  94. Hatcher, Michael C., 2011. "Comparing inflation and price-level targeting: A comprehensive review of the literature," Cardiff Economics Working Papers E2011/22, Cardiff University, Cardiff Business School, Economics Section.
  95. Azoulay, Eddy & Brenner, Menachem & Landskroner, Yoram & Stein, Roy, 2014. "Inflation risk premium implied by options," Journal of Economics and Business, Elsevier, vol. 71(C), pages 90-102.
  96. Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
  97. Sangyong Joo & Daehwan Kim & Jeffrey Nilsen, 2021. "Monetary Policy and Long-Term Interest Rates in Korea: A Decomposition Analysis," Korean Economic Review, Korean Economic Association, vol. 37, pages 327-366.
  98. Jing Yuan & Yan Peng & Zongwu Cai & Zhengyi Zhang, 2021. "A Quantitative Evaluation to Interest Rate Marketization Reform in China," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202122, University of Kansas, Department of Economics.
  99. Peter Hördahl & Oreste Tristani, 2012. "Inflation Risk Premia In The Term Structure Of Interest Rates," Journal of the European Economic Association, European Economic Association, vol. 10(3), pages 634-657, May.
  100. Don H. Kim, 2009. "Challenges in macro-finance modeling," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 519-544.
  101. Malik, Sheheryar & Meldrum, Andrew, 2016. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 85-102.
  102. Jotikasthira, Chotibhak & Le, Anh & Lundblad, Christian, 2015. "Why do term structures in different currencies co-move?," Journal of Financial Economics, Elsevier, vol. 115(1), pages 58-83.
  103. Garcí­a, Juan Angel & Werner, Thomas, 2010. "Inflation risks and inflation risk premia," Working Paper Series 1162, European Central Bank.
  104. Hrishikesh Vinod & Lekha S. Chakraborty & Honey Karun, 2014. "If Deficits Are Not the Culprit, What Determines Indian Interest Rates? An Evaluation Using the Maximum Entropy Bootstrap Method," Economics Working Paper Archive wp_811, Levy Economics Institute.
  105. Francisco Palomino & Alex Hsu, 2013. "What do Nominal Rigidities and Monetary Policy tell us about the Real Yield Curve?," 2013 Meeting Papers 50, Society for Economic Dynamics.
  106. D’Amico, Stefania & Kim, Don H. & Wei, Min, 2018. "Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(1), pages 395-436, February.
  107. Tsiaplias, Sarantis, 2020. "Time-Varying Consumer Disagreement and Future Inflation," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
  108. Chaojun Li & Yan Liu, 2020. "Asymptotic Properties of the Maximum Likelihood Estimator in Regime-Switching Models with Time-Varying Transition Probabilities," Papers 2010.04930, arXiv.org, revised Dec 2021.
  109. Andras Lengyel, 2022. "Treasury Supply Shocks and the Term Structure of Interest Rates in the UK," MNB Working Papers 2022/6, Magyar Nemzeti Bank (Central Bank of Hungary).
  110. Campbell, John Y. & Sunderam, Adi & Viceira, Luis M., 2017. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," Critical Finance Review, now publishers, vol. 6(2), pages 263-301, September.
  111. Roman Horvath & Lorant Kaszab & Ales Marsal, 2022. "Interest rate rules and inflation risks in a macro‐finance model," Scottish Journal of Political Economy, Scottish Economic Society, vol. 69(4), pages 416-440, September.
  112. Felix Geiger, 2009. "International Interest-Rate Risk Premia in Affine Term Structure Models," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 316/2009, Department of Economics, University of Hohenheim, Germany.
  113. Modena, Matteo, 2008. "The term structure and the expectations hypothesis: a threshold model," MPRA Paper 9611, University Library of Munich, Germany.
  114. Lee, Seojin & Kim, Young Min, 2019. "Inflation expectation, monetary policy credibility, and exchange rates," Finance Research Letters, Elsevier, vol. 31(C).
  115. Roman Horvath & Lorant Kaszab & Ales Marsal, 2022. "Fiscal Policy And the Nominal Term Premium," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(2-3), pages 663-683, March.
  116. Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R., 2010. "Stock and bond returns with Moody Investors," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 867-894, December.
  117. Schupp, Fabian, 2020. "The (ir)relevance of the nominal lower bound for real yield curve analysis," Working Paper Series 2476, European Central Bank.
  118. Vicente, José Valentim Machado & Graminho, Flávia Mourão, 2015. "Decompondo a Inflação Implícita," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 69(2), June.
  119. Arben Kita & Daniel L. Tortorice, 2021. "Arbitrage in International Sovereign Debt Markets? Evidence from the Inflation‐Protected Securities of Six Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(6), pages 1417-1448, September.
  120. repec:zbw:bofrdp:2007_018 is not listed on IDEAS
  121. Kaschützke, B. & Maurer, R., 2016. "Investing and Portfolio Allocation for Retirement," Handbook of the Economics of Population Aging, in: Piggott, John & Woodland, Alan (ed.), Handbook of the Economics of Population Aging, edition 1, volume 1, chapter 0, pages 567-608, Elsevier.
  122. Gurdip Bakshi & Xiaohui Gao & Alberto G. Rossi, 2019. "Understanding the Sources of Risk Underlying the Cross Section of Commodity Returns," Management Science, INFORMS, vol. 65(2), pages 619-641, February.
  123. Koijen, Ralph S.J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017. "The cross-section and time series of stock and bond returns," Journal of Monetary Economics, Elsevier, vol. 88(C), pages 50-69.
  124. Mehmet Pasaogullari & Simeon Tsonevy, 2011. "The term structure of inflation compensation in the nominal yield curve," Working Papers (Old Series) 1133, Federal Reserve Bank of Cleveland.
  125. Boons, Martijn & Duarte, Fernando & de Roon, Frans & Szymanowska, Marta, 2020. "Time-varying inflation risk and stock returns," Journal of Financial Economics, Elsevier, vol. 136(2), pages 444-470.
  126. Javed I. Ahmed, 2014. "Competition in Lending and Credit Ratings," Working Papers 14-01, Office of Financial Research, US Department of the Treasury.
  127. Grishchenko, Olesya V. & Vanden, Joel M. & Zhang, Jianing, 2016. "The informational content of the embedded deflation option in TIPS," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 1-26.
  128. Prat, Georges & Uctum, Remzi, 2021. "Term structure of interest rates: Modelling the risk premium using a two horizons framework," Journal of Economic Behavior & Organization, Elsevier, vol. 182(C), pages 421-436.
  129. Alex Hsu & Erica X. N. Li & Francisco Palomino, 2021. "Real and Nominal Equilibrium Yield Curves," Management Science, INFORMS, vol. 67(2), pages 1138-1158, February.
  130. Marcello Pericoli, 2012. "Expected inflation and inflation risk premium in the euro area and in the United States," Temi di discussione (Economic working papers) 842, Bank of Italy, Economic Research and International Relations Area.
  131. Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013. "No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 389-402.
  132. Ermolov, Andrey, 2022. "Time-varying risk of nominal bonds: How important are macroeconomic shocks?," Journal of Financial Economics, Elsevier, vol. 145(1), pages 1-28.
  133. José Valentim Machado Vicente, 2021. "A Non-Knotty Inflation Risk Premium Model," Working Papers Series 543, Central Bank of Brazil, Research Department.
  134. Chernov, Mikhail & Mueller, Philippe, 2012. "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
  135. Aguilar-Argaez Ana María & Elizondo Rocío & Roldán-Peña Jessica, 2016. "Break-Even-Inflation's Decomposition in Mexico," Working Papers 2016-22, Banco de México.
  136. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2010. "Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(s1), pages 143-178, September.
  137. Duarte, Diogo & Saporito, Yuri F., 2019. "Endogenous asymmetric money illusion," Journal of Banking & Finance, Elsevier, vol. 109(C).
  138. Ulrich, Maxim, 2013. "Inflation ambiguity and the term structure of U.S. Government bonds," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 295-309.
  139. Platanakis, Emmanouil & Sutcliffe, Charles, 2016. "Pension scheme redesign and wealth redistribution between the members and sponsor: The USS rule change in October 2011," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 14-28.
  140. Gianni Amisano & Oreste Tristani, 2023. "Monetary policy and long‐term interest rates," Quantitative Economics, Econometric Society, vol. 14(2), pages 689-716, May.
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