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Citations for "The Term Structure of Inflation Expectations"

by Philippe Mueller & Mikhail Chernov

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  1. Lieven Baele, 2010. "The Determinants of Stock and Bond Return Comovements," Review of Financial Studies, Society for Financial Studies, vol. 23(6), pages 2374-2428, June.
  2. Ruslan Bikbov & Mikhail Chernov, 2010. "No-arbitrage macroeconomic determinants of the yield curve," Post-Print peer-00732517, HAL.
  3. Marcello Pericoli, 2013. "Macroeconomic and monetary policy surprises and the term structure of interest rates," Temi di discussione (Economic working papers) 927, Bank of Italy, Economic Research and International Relations Area.
  4. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2013. "Deflation Risk," NBER Working Papers 19238, National Bureau of Economic Research, Inc.
  5. Altavilla, Carlo & Giacomini, Raffaella & Ragusa, Giuseppe, 2014. "Anchoring the yield curve using survey expectations," Working Paper Series 1632, European Central Bank.
  6. Francisco Barillas & Kristoffer Nimark, 2012. "Speculation, risk premia and expectations in the yield curve," Economics Working Papers 1337, Department of Economics and Business, Universitat Pompeu Fabra, revised Nov 2013.
  7. Geert Bekaert & Xiaozheng Wang, 2010. "Inflation risk and the inflation risk premium," Economic Policy, CEPR;CES;MSH, vol. 25, pages 755-806, October.
  8. Bauer, Michael D. & Rudebusch, Glenn D., 2015. "Resolving the spanning puzzle in macro-finance term structure models," Working Paper Series 2015-1, Federal Reserve Bank of San Francisco.
  9. David Backus & Mikhail Chernov & Stanley E. Zin, 2013. "Identifying Taylor Rules in Macro-Finance Models," NBER Working Papers 19360, National Bureau of Economic Research, Inc.
  10. Hatcher, Michael, 2013. "The Inflation Risk Premium on Government Debt in an Overlapping Generations Model," SIRE Discussion Papers 2013-81, Scottish Institute for Research in Economics (SIRE).
  11. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.
  12. Peter Spencer, 2013. "The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models," Discussion Papers 13/22, Department of Economics, University of York.
  13. Juneja, Januj, 2014. "Term structure estimation in the presence of autocorrelation," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 119-129.
  14. Guimarães, Rodrigo, 2014. "Expectations, risk premia and information spanning in dynamic term structure model estimation," Bank of England working papers 489, Bank of England.
  15. Benlagha, N., 2013. "Co-movement of Index linked bonds and conventional bonds in France: Subprime crisis and Structural Break, 2003-01, 2012-04," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 13(1), pages 55-66.
  16. Joslin, Scott & Le, Anh & Singleton, Kenneth J., 2013. "Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs," Journal of Financial Economics, Elsevier, vol. 109(3), pages 604-622.
  17. García, Juan Angel & Werner, Thomas, 2010. "Inflation risks and inflation risk premia," Working Paper Series 1162, European Central Bank.
  18. 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.
  19. Gregory H. Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Working Papers 12-5, Bank of Canada.
  20. Olesya V. Grishchenko & Jing-zhi Huang, 2012. "Inflation risk premium: evidence from the TIPS market," Finance and Economics Discussion Series 2012-06, Board of Governors of the Federal Reserve System (U.S.).
  21. Luis Gil-Alana & Antonio Moreno & Fernando Pérez de Gracia, 2011. "Exploring Survey-Based Inflation Forecasts," Faculty Working Papers 05/11, School of Economics and Business Administration, University of Navarra.
  22. Stefania D'Amico & Don H. Kim & Min Wei, 2010. "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," Finance and Economics Discussion Series 2010-19, Board of Governors of the Federal Reserve System (U.S.).
  23. Glenn D. Rudebusch, 2010. "Macro-Finance Models Of Interest Rates And The Economy," Manchester School, University of Manchester, vol. 78(s1), pages 25-52, 09.
  24. Andrea Berardi, 2013. "Inflation Risk Premia, Yield Volatility and Macro Factors," Working Papers 27/2013, University of Verona, Department of Economics.
  25. Olena Chyruk & Luca Benzoni & Andrea Ajello, 2012. "Core and `Crust': Consumer Prices and the Term Structure of Interest Rates," 2012 Meeting Papers 922, Society for Economic Dynamics.
  26. Sumru Altug & Cem Cakmakli, 2014. "Inflation Targeting and Inflation Expectations: Evidence for Brazil and Turkey," Koç University-TUSIAD Economic Research Forum Working Papers 1413, Koc University-TUSIAD Economic Research Forum.
  27. Jens H.E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2012. "Pricing deflation risk with U.S. Treasury yields," Working Paper Series 2012-07, Federal Reserve Bank of San Francisco.
  28. S. Mouabbi, 2014. "An arbitrage-free Nelson-Siegel term structure model with stochastic volatility for the determination of currency risk premia," Working papers 527, Banque de France.
  29. Patton, Andrew J & Timmermann, Allan G, 2007. "Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts," CEPR Discussion Papers 6526, C.E.P.R. Discussion Papers.
  30. David Backus & Mikhail Chernov & Stanley Zin, 2014. "Sources of Entropy in Representative Agent Models," Journal of Finance, American Finance Association, vol. 69(1), pages 51-99, 02.
  31. Vadim Khramov, 2013. "Estimating Parameters of Short-Term Real Interest Rate Models," IMF Working Papers 13/212, International Monetary Fund.
  32. 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.
  33. Ahmed, Javed I., 2014. "Competition in lending and credit ratings," Finance and Economics Discussion Series 2014-23, Board of Governors of the Federal Reserve System (U.S.).
  34. Peter Hördahl & Oreste Tristani, 2014. "Inflation Risk Premia in the Euro Area and the United States," International Journal of Central Banking, International Journal of Central Banking, vol. 10(3), pages 1-47, September.
  35. Winkelried, Diego, 2014. "Inferring inflation expectations from fixed-event forecasts," Working Papers 2014-016, Banco Central de Reserva del Perú.
  36. Fernando M. Duarte, 2013. "Inflation risk and the cross section of stock returns," Staff Reports 621, Federal Reserve Bank of New York.
  37. D'Amico, Stefania & Kim, Don H. & Wei, Min, 2014. "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," Finance and Economics Discussion Series 2014-24, Board of Governors of the Federal Reserve System (U.S.).
  38. Todd E. Clark & Troy Davig, 2008. "An empirical assessment of the relationships among inflation and short- and long-term expectations," Research Working Paper RWP 08-05, Federal Reserve Bank of Kansas City.
  39. Michael Abrahams & Tobias Adrian & Richard K. Crump & Emanuel Moench, 2012. "Pricing TIPS and treasuries with linear regressions," Staff Reports 570, Federal Reserve Bank of New York.
  40. Guimarães , Rodrigo, 2012. "What accounts for the fall in UK ten-year government bond yields?," Bank of England Quarterly Bulletin, Bank of England, vol. 52(3), pages 213-223.
  41. repec:dgr:uvatin:20120140 is not listed on IDEAS
  42. Gregory R. Duffee, 2012. "Forecasting interest rates," Economics Working Paper Archive 599, The Johns Hopkins University,Department of Economics.
  43. José Valentim Machado Vicente & Flávia Mourão Graminho, 2014. "Decompondo a Inflação Implícita," Working Papers Series 359, Central Bank of Brazil, Research Department.
  44. Bruno Feunou & Jean-Sébastien Fontaine, 2012. "Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields," Working Papers 12-37, Bank of Canada.
  45. Antonio Diez de los Rios, 2013. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Working Papers 13-10, Bank of Canada.
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