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The term structure of inflation expectations

โœ Scribed by Mikhail Chernov; Philippe Mueller


Book ID
119296453
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
889 KB
Volume
106
Category
Article
ISSN
0304-405X

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Extracting inflation expectations from t
โœ Hiona Balfoussia; Mike Wickens ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 228 KB

We propose a new way of extracting inflation information from the term structure, by setting the Fisher equation in the context of the stochastic discount factor (SDF) asset pricing theory. We develop a multivariate estimation framework which models the term structure of interest rates in a manner c