IDEAS home Printed from https://ideas.repec.org/r/boe/boeewp/0360.html
   My bibliography  Save this item

Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. repec:fgv:epgrbe:v:67:n:2:a:6 is not listed on IDEAS
  2. Thomas Laubach, 2011. "Fiscal Policy and Interest Rates: The Role of Sovereign Default Risk," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 7(1), pages 7-30.
  3. Asgharian, Hossein, 2011. "A conditional asset-pricing model with the optimal orthogonal portfolio," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1027-1040, May.
  4. Lin, Mucai & Hong, Zhiwu & Su, Ge, 2024. "Transmission of liquidity and credit risks in the Chinese bond market: Analysis based on joint modeling of multiple yield curves," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 597-615.
  5. Marcello Pericoli, 2019. "An assessment of recent trends in market-based expected iflation in the euro area," Questioni di Economia e Finanza (Occasional Papers) 542, Bank of Italy, Economic Research and International Relations Area.
  6. Ed Westerhout & Ona Ciocyte, 2017. "The role of inflation-linked bonds," CPB Discussion Paper 344, CPB Netherlands Bureau for Economic Policy Analysis.
  7. Chen, Shi & Härdle, Wolfgang Karl & Wang, Weining, 2015. "Inflation co-movement across countries in multi-maturity term structure: An arbitrage-free approach," SFB 649 Discussion Papers 2015-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  8. Richard Finlay & Sebastian Wende, 2012. "Estimating Inflation Expectations with a Limited Number of Inflation-Indexed Bonds," International Journal of Central Banking, International Journal of Central Banking, vol. 8(2), pages 111-142, June.
  9. Michael Hatcher, 2013. "The inflation risk premium on government debt in an overlapping generations model," Working Papers 2013_17, Business School - Economics, University of Glasgow.
  10. Mervyn King & David Low, 2014. "Measuring the ''World'' Real Interest Rate," NBER Working Papers 19887, National Bureau of Economic Research, Inc.
  11. Kanas, Angelos, 2014. "Bond futures, inflation-indexed bonds, and inflation risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 82-99.
  12. Westerhout, Ed & Ciocyte, Ona, 2017. "The Role of Inflation-Linked Bonds. Increasing, but Still Modest," Discussion Paper 2017-027, Tilburg University, Center for Economic Research.
  13. Tobias Adrian & Hao Wu, 2009. "The term structure of inflation expectations," Staff Reports 362, Federal Reserve Bank of New York.
  14. repec:spo:wpmain:info:hdl:2441/1mtnt18l7t904biebogfm7hcao is not listed on IDEAS
  15. Joyce, Michael & Relleen, Jonathan & Sorensen, Steffen, 2008. "Measuring monetary policy expectations from financial market instruments," Bank of England working papers 356, Bank of England.
  16. Daniela Kubudi & José Valentim Vicente, 2016. "A Joint Model of Nominal and Real Yield Curves," Working Papers Series 452, Central Bank of Brazil, Research Department.
  17. Andreasen, Martin M., 2012. "An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia," European Economic Review, Elsevier, vol. 56(8), pages 1656-1674.
  18. Tosapol Apaitan, 2015. "Extracting Market Inflation Expectations: A Semi-structural Macro-finance Term Structure Model," PIER Discussion Papers 4., Puey Ungphakorn Institute for Economic Research, revised Sep 2015.
  19. Vicente, José Valentim Machado & Guillen, Osmani Teixeira de Carvalho, 2013. "Do inflation-linked bonds contain information about future inflation?," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(2), June.
  20. Paul Hubert, 2017. "Central Bank Information and the effects of Monetary shocks," Documents de Travail de l'OFCE 2017-19, Observatoire Francais des Conjonctures Economiques (OFCE).
  21. Chen, S. & Härdle, W.K. & Wang, W., 2016. "Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach," Working Papers 16/06, Department of Economics, City University London.
  22. Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
  23. Malik, Sheheryar & Meldrum, Andrew, 2016. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 85-102.
  24. Garcí­a, Juan Angel & Werner, Thomas, 2010. "Inflation risks and inflation risk premia," Working Paper Series 1162, European Central Bank.
  25. Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista, 2018. "UK term structure decompositions at the zero lower bound," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 643-661, August.
  26. Dempster, M.A.H. & Tang, Ke, 2011. "Estimating exponential affine models with correlated measurement errors: Applications to fixed income and commodities," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 639-652, March.
  27. Mardi Dungey & M.Tugrul Vehbi, 2011. "A SVECM Model of the UK Economy and The Term Premium," CAMA Working Papers 2011-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  28. Andras Lengyel, 2022. "Treasury Supply Shocks and the Term Structure of Interest Rates in the UK," MNB Working Papers 2022/6, Magyar Nemzeti Bank (Central Bank of Hungary).
  29. Güler, Mustafa Haluk & Keleş, Gürsu & Polat, Tandoğan, 2017. "An empirical decomposition of the liquidity premium in breakeven inflation rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 185-192.
  30. Paul Söderlind, 2011. "Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty," International Journal of Central Banking, International Journal of Central Banking, vol. 7(2), pages 113-133, June.
  31. Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista, 2018. "UK term structure decompositions at the zero lower bound," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 643-661, August.
  32. International Monetary Fund, 2016. "Brazil: Selected Issues," IMF Staff Country Reports 2016/349, International Monetary Fund.
  33. repec:hal:spmain:info:hdl:2441/79hle3i1b69dqrocqsjarh6lb1 is not listed on IDEAS
  34. Paul Hubert & Becky Maule, 2016. "Policy and Macro Signals as Inputs to Inflation Expectation Formation," SciencePo Working papers Main hal-03459462, HAL.
  35. Huang, Xiaoyong & Jia, Fei & Xu, Xiangyun & Yu shi,, 2019. "The threshold effect of market sentiment and inflation expectations on gold price," Resources Policy, Elsevier, vol. 62(C), pages 77-83.
  36. Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2023. "The information in joint term structures of bond yields," Journal of International Money and Finance, Elsevier, vol. 134(C).
  37. Remy Beauregard & Jens H. E. Christensen & Eric Fischer & Simon Zhu, 2021. "Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico," Working Paper Series 2021-08, Federal Reserve Bank of San Francisco.
  38. Alex Hsu & Erica X. N. Li & Francisco Palomino, 2021. "Real and Nominal Equilibrium Yield Curves," Management Science, INFORMS, vol. 67(2), pages 1138-1158, February.
  39. Marcello Pericoli, 2012. "Expected inflation and inflation risk premium in the euro area and in the United States," Temi di discussione (Economic working papers) 842, Bank of Italy, Economic Research and International Relations Area.
  40. Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio, 2013. "No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 389-402.
  41. Temperley Patricio, 2024. "La medición de las expectativas de inflación en Argentina: consultoras económicas versus mercados financieros," Asociación Argentina de Economía Política: Working Papers 4766, Asociación Argentina de Economía Política.
  42. José Valentim Machado Vicente, 2021. "A Non-Knotty Inflation Risk Premium Model," Working Papers Series 543, Central Bank of Brazil, Research Department.
  43. Chernov, Mikhail & Mueller, Philippe, 2012. "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
  44. Njindan Iyke, Bernard, 2015. "On The Term Structure of South African Interest Rates: Cointegration and Threshold Adjustment," MPRA Paper 67681, University Library of Munich, Germany.
  45. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2010. "Inflation Expectations and Risk Premiums in an Arbitrage-Free Model of Nominal and Real Bond Yields," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(s1), pages 143-178, September.
  46. Mauro Sayar Ferreira & Joice Marques Figueiredo, 2024. "The influence of global uncertainty and financial shocks, and sovereign risk shock on the Brazilian term structure of interest rate," Textos para Discussão Cedeplar-UFMG 674, Cedeplar, Universidade Federal de Minas Gerais.
  47. Jef Boeckx & Leonardo Iania & Joris Wauters, 2025. "Macroeconomic Drivers of Inflation Expectations and Inflation Risk Premia," Journal of Financial Econometrics, Oxford University Press, vol. 23(1), pages 733-743.
  48. Iryna Kaminska & Andrew Meldrum & James Smith, 2013. "A Global Model Of International Yield Curves: No‐Arbitrage Term Structure Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 18(4), pages 352-374, October.
  49. Martin M. Andreasen & Jens H. E. Christensen & Simon Riddell, 2020. "The TIPS Liquidity Premium," Working Paper Series 2017-11, Federal Reserve Bank of San Francisco.
  50. Berardi, Andrea & Plazzi, Alberto, 2022. "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, vol. 134(C).
  51. Pedro Pires Ribeiro & José Dias Curto, 2018. "How do zero-coupon inflation swaps predict inflation rates in the euro area? Evidence of efficiency and accuracy on 1-year contracts," Empirical Economics, Springer, vol. 54(4), pages 1451-1475, June.
  52. Guimarães, Rodrigo, 2014. "Expectations, risk premia and information spanning in dynamic term structure model estimation," Bank of England working papers 489, Bank of England.
  53. Alex Hsu & Erica X. N. Li & Francisco J. Palomino, 2016. "Real and Nominal Equilibrium Yield Curves: Wage Rigidities and Permanent Shocks," Finance and Economics Discussion Series 2016-032, Board of Governors of the Federal Reserve System (U.S.).
  54. Kei Imakubo & Jouchi Nakajima, 2015. "Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model," Bank of Japan Working Paper Series 15-E-1, Bank of Japan.
  55. Westerhout, Ed & Ciocyte, Ona, 2017. "The Role of Inflation-Linked Bonds. Increasing, but Still Modest," Other publications TiSEM 08878bbd-e76e-4216-bee9-b, Tilburg University, School of Economics and Management.
  56. Jens H. E. Christensen & James M. Gillan, 2011. "A model-independent maximum range for the liquidity correction of TIPS yields," Working Paper Series 2011-16, Federal Reserve Bank of San Francisco.
  57. Zeng, Zheng, 2013. "New tips from TIPS: Identifying inflation expectations and the risk premia of break-even inflation," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 125-139.
  58. Fan, Longzhen & Tian, Shu & Zhang, Chu, 2012. "Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 239-248.
  59. Meldrum, Andrew & Roberts-Sklar, Matt, 2015. "Long-run priors for term structure models," Bank of England working papers 575, Bank of England.
  60. Marcello Pericoli, 2013. "Macroeconomic and monetary policy surprises and the term structure of interest rates," Temi di discussione (Economic working papers) 927, Bank of Italy, Economic Research and International Relations Area.
  61. Liu, Zhuoshi & Spencer, Peter, 2013. "Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 241-256.
  62. Istrefi, Klodiana & Mouabbi, Sarah, 2018. "Subjective interest rate uncertainty and the macroeconomy: A cross-country analysis," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 296-313.
  63. Marfatia Hardik A., 2018. "Estimating the New Keynesian Phillips Curve for the UK: evidence from the inflation-indexed bonds market," The B.E. Journal of Macroeconomics, De Gruyter, vol. 18(1), pages 1-18, January.
  64. Ed Westerhout & Ona Ciocyte, 2017. "The role of inflation-linked bonds," CPB Discussion Paper 344.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
  65. repec:spo:wpmain:info:hdl:2441/79hle3i1b69dqrocqsjarh6lb1 is not listed on IDEAS
  66. Burçin Kısacıkoğlu, 2020. "Real Term Structure and New Keynesian Models," International Journal of Central Banking, International Journal of Central Banking, vol. 16(3), pages 95-139, June.
  67. Lange, Ronald H., 2017. "The expected real yield and inflation components of the nominal yield curve," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 1-18.
  68. Dooruj Rambaccussing & Craig Menzies & Andrzej Kwiatkowski, 2022. "Look who’s Talking: Individual Committee members’ impact on inflation expectations," Dundee Discussion Papers in Economics 305, Economic Studies, University of Dundee.
  69. Covarrubias, Enrique & Hernández-del-Valle, Gerardo, 2016. "Inflation expectations derived from a portfolio model," MPRA Paper 69489, University Library of Munich, Germany.
  70. Guimarães , Rodrigo, 2012. "What accounts for the fall in UK ten-year government bond yields?," Bank of England Quarterly Bulletin, Bank of England, vol. 52(3), pages 213-223.
  71. Shi Chen & Wolfgang Karl Härdle & Weining Wang, 2022. "The common and specific components of inflation expectations across European countries," Empirical Economics, Springer, vol. 62(2), pages 553-580, February.
  72. Faust, Jon & Wright, Jonathan H., 2013. "Forecasting Inflation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 2-56, Elsevier.
  73. Zhu, Yanhui & Fan, Jingwen & Tucker, Jon, 2018. "The impact of monetary policy on gold price dynamics," Research in International Business and Finance, Elsevier, vol. 44(C), pages 319-331.
  74. Spencer, Peter & Liu, Zhuoshi, 2010. "An open-economy macro-finance model of international interdependence: The OECD, US and the UK," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 667-680, March.
  75. Sara Cecchetti & Adriana Grasso & Marcello Pericoli, 2022. "An analysis of objective inflation expectations and inflation risk premia," Temi di discussione (Economic working papers) 1380, Bank of Italy, Economic Research and International Relations Area.
  76. Giray Gozgor, 2013. "The New Keynesian Phillips Curve in an Inflation Targeting Country: The Case of Turkey," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 6(1), pages 7-18, April.
  77. Piergiorgio Alessandri & Benjamin D. Nelson, 2015. "Simple Banking: Profitability and the Yield Curve," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(1), pages 143-175, February.
  78. Kaminska, Iryna & Liu, Zhuoshi & Relleen, Jon & Vangelista, Elisabetta, 2018. "What do the prices of UK inflation-linked securities say on inflation expectations, risk premia and liquidity risks?," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 76-96.
  79. Tosapol Apaitan, 2015. "Extracting Market Inflation Expectations: A Semi-structural Macro-finance Term Structure Model," PIER Discussion Papers 4, Puey Ungphakorn Institute for Economic Research.
  80. repec:hum:wpaper:sfb649dp2015-049 is not listed on IDEAS
  81. Joyce, Michael & Tong, Matthew & Woods, Robert, 2011. "The United Kingdom’s quantitative easing policy: design, operation and impact," Bank of England Quarterly Bulletin, Bank of England, vol. 51(3), pages 200-212.
  82. Ciccarelli, Matteo & Osbat, Chiara, 2017. "Low inflation in the euro area: Causes and consequences," Occasional Paper Series 181, European Central Bank.
  83. Perico Ortiz, Daniel, 2023. "Inflation news coverage, expectations and risk premium," FAU Discussion Papers in Economics 05/2023, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  84. Andrea Berardi, 2013. "Inflation Risk Premia, Yield Volatility and Macro Factors," Working Papers 27/2013, University of Verona, Department of Economics.
  85. Bernard Njindan Iyke, 2017. "On the term structure of South African interest rates: cointegration and threshold adjustment," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 9(4), pages 300-321.
  86. repec:spo:wpmain:info:hdl:2441/6mrhmte8no840p587hv7bkohtn is not listed on IDEAS
  87. Berardi, Andrea, 2023. "Term premia and short rate expectations in the euro area," Journal of Empirical Finance, Elsevier, vol. 74(C).
  88. Martin M. Andreasen & Jens H.E. Christensen & Simon Riddell, 2017. "The TIPS Liquidity Premium," CREATES Research Papers 2017-27, Department of Economics and Business Economics, Aarhus University.
  89. repec:hal:spmain:info:hdl:2441/6mrhmte8no840p587hv7bkohtn is not listed on IDEAS
  90. Hibiki Ichiue & Yoichi Ueno, 2013. "Estimating Term Premia at the Zero Bound: An Analysis of Japanese, US, and UK Yields," Bank of Japan Working Paper Series 13-E-8, Bank of Japan.
  91. Agnieszka Konicz & David Pisinger & Alex Weissensteiner, 2015. "Optimal annuity portfolio under inflation risk," Computational Management Science, Springer, vol. 12(3), pages 461-488, July.
  92. Kim, Hwagyun & Park, Hail, 2013. "Term structure dynamics with macro-factors using high frequency data," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 78-93.
  93. Andrew Blake & Garreth Rule & Ole Rummel, 2015. "Inflation targeting and term premia estimates for Latin America," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 24(1), pages 1-21, December.
  94. repec:hal:spmain:info:hdl:2441/1mtnt18l7t904biebogfm7hcao is not listed on IDEAS
  95. J. Benson Durham, 2013. "More on U.S. Treasury term premiums: spot and expected measures," Staff Reports 658, Federal Reserve Bank of New York.
  96. Stanley Fischer, 2015. "Central Bank Independence : a speech at the 2015 Herbert Stein Memorial Lecture National Economists Club, Washington, D.C., November 4, 2015," Speech 873, Board of Governors of the Federal Reserve System (U.S.).
  97. Argyropoulos, Efthymios & Tzavalis, Elias, 2021. "The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 785-796.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.