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Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets

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Figure

Figure 1: US’s headline vs. core inflation compared  to the real price of oil over 40 years
Figure 2: Slope of the Breakeven inflation curve (2Y-10Y) vs. 2Y oil future.
Figure 4: Nominal yield curve drivers against risk factors estimated by Kalman filter
Figure 5: Inflation breakeven yield curve drivers against risk factors estimated by Kalman filter
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