Estimating the real and implied inflation term
Estimating equilibrium real interest rates in real-time
... in estimating the equilibrium real rate - essentially, even putting aside real time considerations, there are many reasons to be concerned about the robustness of equilibrium real rate ...
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Estimating real and nominal term structures using Treasury yields, inflation, inflation forecasts, and inflation swap rates
... of term structure factors using multiple GARCH processes has some advantages relative to alternative ...of real rates and expected inflation, but also for influencing fluctuations in risk premia, the ...
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Component-smoothed Inflation: Estimating the Persistent Component of Inflation in Real Time
... year-ended inflation for the component-smoothed inflation measure, the CPI ex volatiles series and the trimmed ...underlying inflation over our sample, there are some notable ...component-smoothed ...
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Estimating Long Term Equity Implied Volatility
... ity can be uniquely computed for a range of strike/asset prices and expirations using equation ( 4.3 ). It is assumed that the call price is twice differentiable with respect to the strike and once with respect to ...
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Estimating Implied Recovery Rates from the Term Structure of CDS Spreads
... The basic intuition behind this paper is based on the corporate nance theory of asset re sales, as described in the seminal paper by Shleifer and Vishny (2012). Their model was the rst to make the resale price of ...
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Real term structure and inflation compensation in the euro area
... a real yield to maturity, which is not directly comparable with the corresponding nominal yield to maturity since they di¤er as to maturities, coupon rates and cash-‡ow ...worthwhile estimating the ...
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Estimating inflation expectations using French government inflation-indexed bonds
... an implied forward inflation rate curve, commonly known as Inflation Term Structure or ...and real yield ...a real and nominal yield curve with a parametric model and employing ...
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Estimating Output Gap, Core Inflation, and the NAIRU for Peru
... component which proxies core or expected in‡ation. On the other side, Ger- lach and Smets (1999) consider only a backward-looking Phillips curve and an aggregate demand equation which relates the output gap to its own ...
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Estimating regime-switching Taylor rules with trend inflation
... trend inflation for the post-WWII ...time-varying inflation target as two features of the US monetary policy conduct over the last 50 ...trend inflation, policy rules need to have a time-varying ...
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When is Inflation Harmful? Estimating the Threshold Effect for Ghana
... that inflation has a threshold effect on economic growth. As an inflation targeting country, this is a crucial finding as it provides a baseline study in search of the optimal level of inflation for ...
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Real Risk, Inflation Risk, and the Term Structure
... values implied by the no-arbitrage ...the real yield curve is complicated by two ...the real term structure directly from the observed prices of index-linked ...how real yields can be ...
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The Term Structure of Real Rates and Expected Inflation
... of Real Rates From the top panel of Figure 4, we see that the real short rate exhibits considerable short- term variation, sometimes decreasing and increasing ...of real rates in the 1958 and ...
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Short-term inflation-hedging characteristics of real estate in Hong Kong
... with inflation expectation shock on annual basis as the slope coefficients in this time interval are significantly different from ...unexpected inflation in its price fluctuation and rental ...observed ...
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The Inflation Premium Implicit in the US Real and Nominal Term Structures of Interest Rates
... discounted value of their coupon and principal payments. Appendix 2 gives details of the computation. The Wall Street Journal, the Bloomberg Screen and Website 7 and, most recently, the Federal Reserve Bank of St. Louis ...
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Real Return Bonds: Monetary Policy Credibility and Short-Term Inflation Forecasting
... the inflation target remains an open question. A rise in long-term inflation expec- tations reflected in the BEIR would suggest that mar- ket participants do not expect the Bank of Canada to conduct ...
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Volatility of Commodity Futures Prices and Market-Implied Inflation Expectations
... market-implied inflation expectations has been analyzed more recently (Celasun et ...lower-frequency inflation measures based on headline and core inflation indexes has been widely discussed ...
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Estimating and Comparing the Implied Cost of Equity for Canadian and U.S. Firms
... the implied cost of equity for Canada and the United States are ...anchoring inflation expectations and pursuing a low debt-to-GDP ratio can not only help maintain lower government borrowing costs but can ...
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Estimating Implied Default Probabilities and Risk Measures for Credit Bonds
... credit term structure for Government of Canada bonds mainly serves as a check on our model, since the yield is close to, or sometimes even lower, than the Canadian LIBOR swap ...fitted implied survival ...
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CURRICULUM VITAE. Model-free implied volatility (estimating model-free implied volatility in the options market, etc.);
... “Finite Sample Comparison of Alternative Estimators of Itô Diffusion Processes --- A Monte Carlo Study,” with John Knight, Journal of Computational Finance, 1999 (2), Nov. 3, 1-34. “Nonparametric Modeling of U.S. ...
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Term Structures of Inflation Expectations and Real Interest Rates: The Effects of Unconventional Monetary Policy
... 4 Unconventional Monetary Policy: 2008–2013 The results so far show that the in‡ation expectations curve obtained from the model, to the extent that it can be compared with alternatives, seems to be a good measure. In ...
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