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Beliefs about Inflation and the Term Structure of Interest Rates

Author

Listed:
  • Philipp Illeditsch

    (University of Pennsylvania)

  • Michael Gallmeyer

    (Texas A&M University)

  • Christian Heyerdahl-Larsen

    (BI-Oslo)

  • Paul Ehling

    (BI-Oslo)

Abstract

the long run mean and/or the persistence of expected inflation.

Suggested Citation

  • Philipp Illeditsch & Michael Gallmeyer & Christian Heyerdahl-Larsen & Paul Ehling, 2009. "Beliefs about Inflation and the Term Structure of Interest Rates," 2009 Meeting Papers 1223, Society for Economic Dynamics.
    • Handle: RePEc:red:sed009:1223
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    Cited by:

    1. Jermann, Urban J., 2013. "A production-based model for the term structure," Journal of Financial Economics, Elsevier, vol. 109(2), pages 293-306.
    2. Dick Dijk & Siem Jan Koopman & Michel Wel & Jonathan H. Wright, 2014. "Forecasting interest rates with shifting endpoints," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 693-712, August.
    3. Kenneth J. Singleton, 2014. "Investor Flows and the 2008 Boom/Bust in Oil Prices," Management Science, INFORMS, vol. 60(2), pages 300-318, February.
    4. Jerry Tsai, 2013. "Rare Disasters and the Term Structure of Interest Rates," Economics Series Working Papers 665, University of Oxford, Department of Economics.

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