[PDF] Top 20 The Inflation Premium Implicit in the US Real and Nominal Term Structures of Interest Rates
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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 ... See full document
44
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 ... See full document
53
The inflation risk premium in the term structure of interest rates 1
... for inflation-linked securities have grown in recent years, the prices of these instruments have become an important source of information for both central banks and financial market ...ante real ... See full document
16
Real and Nominal UK Interest Rates, ERM Membership and Inflation Targeting
... the real and nominal short ...affine term structure models to macroeconomic fundamentals ...the real and nominal short rate in the Balduzzi et ...model. Inflation is an intuitive ... See full document
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Term Structures of Inflation Expectations and Real Interest Rates: The Effects of Unconventional Monetary Policy
... the real yield curve obtained following the procedure discussed in Section ...the nominal interest rates hitting the zero lower bound in early 2009, it is important to see whether long-run ... See full document
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Real interest rates and inflation in Norway
... the real interest rate averaged over the whole business cycle, should approximate the neutral real interest rate because the positive and negative real interest rate gaps cancel ... See full document
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The optimal inflation buffer with a zero bound on nominal interest rates
... equity premium, ...of inflation indexation in the economy, θ, being either 0 or the baseline ...more inflation indexation in the economy inflation and inflation promises of the central ... See full document
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The Optimal Inflation Buffer with a Zero Bound on Nominal Interest Rates
... equity premium, ...of inflation indexation in the economy, θ, being either 0 or the baseline ...more inflation indexation in the economy inflation and inflation promises of the central ... See full document
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The Term Structures of Equity and Interest Rates
... high premium on value stocks relative to growth stocks and the fact that value stocks have a low variance and low covariance with the aggregate ...the nominal yield curve and time-variation in bond risk ... See full document
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The Real Exchange Rate, Real Interest Rates, and the Risk Premium
... expected inflation tends to be associated with an expected real appreciation of the Home currency, holding the real interest differential ...high inflation emerging ...expected ... See full document
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The Real Exchange Rate, Real Interest Rates, and the Risk Premium
... expected inflation tends to be associated with an expected real appreciation of the Home currency, holding the real interest differential ...high inflation emerging ...expected ... See full document
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Markov Switching Risk Premium and the term structure of interest rates. Empirical evidence from US post-war interest rates
... the term structure model is a key element for macroeconomic policy in order to bridge the gap between the nominal short- term interest rate set by monetary policy and the real ... See full document
13
Pricing kernels, inflation, and the term structure of interest rates
... the real term structure is lower than the nominal, reflecting the positive average inflation in both samples, 1951-1982 and ...of nominal anchor existed—high inflation ... See full document
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The Term Structure of Interest Rates and Inflation Forecast Targeting
... the term spread contains information about future output growth, they also show that are substantial differences between ...lagged term spread is higher in Germany than in the United ...of inflation ... See full document
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Inflation risk premia in the term structure of interest rates
... that term premia in the nominal yield curve are mostly a re‡ection of real sources of risk, ...the nominal and index-linked yield ...The term premium on 10-year nominal ... See full document
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The Relationship between Nominal Interest Rates and Inflation: New Evidence and Implication for Nigeria
... between nominal interest rates and expected inflation in the Nigerian ...between nominal interest rates and expected inflation, which implies that nominal ... See full document
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Fisher Effect and the Relationship between Nominal Interest Rates and Inflation: The Case of Nigeria
... a premium. This risk premium will serve as compensation for the risk they take in holding financial ...expected inflation measure adopted by Fisher (1930) failed to consider the covariance of ... See full document
52
The Determinants of Real Long-Term Interest Rates
... past inflation is that it is a correction for any mismeasurement of inflation ...ante real interest rates vary considerably from their ex-post approximations, possibly given the slow ... See full document
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Interest rates term structures: the effects of macro factors
... be US interest rates at fixed selected maturities, available on the ...treasury nominal securities at constant maturity are interpolated by the ...selected nominal yields calculated ... See full document
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Improving Forecasts of Inflation using the Term Structure of Interest Rates
... multiple interest rates may improve inflation forecasts is that we face a signal extraction ...period nominal interest rate, r t k is the matching real interest rate, E t π t+k k ... See full document
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