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Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices
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- Afonso, António & Arghyrou, Michael G. & Gadea, María Dolores & Kontonikas, Alexandros, 2018.
"“Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects,"
Journal of International Money and Finance, Elsevier, vol. 86(C), pages 1-30.
- António Afonso & Michael G. Arghyrou & María Dolores Gadea & Alexandros Kontonikas, 2017. ""Whatever it takes" to Resolve the European Sovereign Debt Crisis? Bond Pricing Regime Switches and Monetary Policy Effects," CESifo Working Paper Series 6691, CESifo.
- António Afonso & Michael G. Arghyrou & María Dolores Gadea & Alexandros Kontonikas, 2017. ""Whatever it takes" to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Working Papers REM 2017/02, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Afonso, Ant nio & Arghyrou, Michael G & Gadea, Mar a Dolores & Kontonikas, Alexandros, 2017. ""Whatever it takes" to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Cardiff Economics Working Papers E2017/12, Cardiff University, Cardiff Business School, Economics Section.
- Afonso, A & Arghyrou, MG & Gadea, MD & Kontonikas, A, 2017. ""Whatever it takes" to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects," Essex Finance Centre Working Papers 20417, University of Essex, Essex Business School.
- Jeffrey Schafer, 2022. "Inflation Expectations and Their Formation: Working Paper 2022-03," Working Papers 57398, Congressional Budget Office.
- Breach, Tomas & D’Amico, Stefania & Orphanides, Athanasios, 2020.
"The term structure and inflation uncertainty,"
Journal of Financial Economics, Elsevier, vol. 138(2), pages 388-414.
- Tomas Breach & Stefania D'Amico & Athanasios Orphanides, 2016. "The Term Structure and Inflation Uncertainty," Working Paper Series WP-2016-22, Federal Reserve Bank of Chicago.
- Orphanides, Athanasios & Breach, Tomas & D'Amico, Stefania, 2016. "The Term Structure and Inflation Uncertainty," CEPR Discussion Papers 11730, C.E.P.R. Discussion Papers.
- Auckenthaler, Julia & Kupfer, Alexander & Sendlhofer, Rupert, 2015. "The impact of liquidity on inflation-linked bonds: A hypothetical indexed bonds approach," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 139-154.
- Kitsul, Yuriy & Wright, Jonathan H., 2013.
"The economics of options-implied inflation probability density functions,"
Journal of Financial Economics, Elsevier, vol. 110(3), pages 696-711.
- Jonathan Wright & Yuriy Kitsul, 2012. "The Economics of Options-Implied Inflation Probability Density Functions," 2012 Meeting Papers 174, Society for Economic Dynamics.
- Yuriy Kitsul & Jonathan H. Wright, 2012. "The Economics of Options-Implied Inflation Probability Density Functions," NBER Working Papers 18195, National Bureau of Economic Research, Inc.
- Yuriy Kitsul & Jonathan H. Wright, 2012. "The Economics of Options-Implied Inflation Probability Density Functions," Economics Working Paper Archive 600, The Johns Hopkins University,Department of Economics.
- Marie Brière & Ombretta Signori, 2011.
"Inflation hedging portfolios in different regimes,"
BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 139-163,
Bank for International Settlements.
- Marie Briere & Ombretta Signori, 2009. "Inflation-hedging portfolios in Different Regimes," Working Papers CEB 09-047.RS, ULB -- Universite Libre de Bruxelles.
- Cartea, Álvaro & Saúl, Jonatan & Toro, Juan, 2012. "Optimal portfolio choice in real terms: Measuring the benefits of TIPS," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 721-740.
- Olesya Grishchenko & Sarah Mouabbi & Jean‐Paul Renne, 2019.
"Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(5), pages 1053-1096, August.
- Olesya V. Grishchenko & Sarah Mouabbi & Jean-Paul Renne, 2017. "Measuring Inflation Anchoring and Uncertainty : A US and Euro Area Comparison," Finance and Economics Discussion Series 2017-102, Board of Governors of the Federal Reserve System (U.S.).
- Gabriele Zinna, 2016. "Price Pressures on UK Real Rates: An Empirical Investigation," Review of Finance, European Finance Association, vol. 20(4), pages 1587-1630.
- Petter Eilif de Lange & Morten Risstad & Kristian Semmen & Sjur Westgaard, 2023. "Term Premia in Norwegian Interest Rate Swaps," JRFM, MDPI, vol. 16(3), pages 1-19, March.
- 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.
- 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.
- Daniel L. Tortorice & Arben Kita, 2018. "Can Risk Models Extract Inflation Expectations from Financial Market Data? Evidence from the Inflation Protected Securities of Six Countries," Working Papers 1801, College of the Holy Cross, Department of Economics.
- Mouabbi, Sarah & Renne, Jean-Paul & Sahuc, Jean-Guillaume, 2024.
"Debt-stabilizing properties of GDP-linked securities: A macro-finance perspective,"
Journal of Banking & Finance, Elsevier, vol. 162(C).
- Sarah Mouabbi & Jean-Paul Renne & Jean-Guillaume Sahuc, 2021. "Debt-Stabilizing Properties of GDP-Linked Securities: A Macro-Finance Perspective," Working papers 844, Banque de France.
- Chen, Ren-Raw & Liu, Bo & Cheng, Xiaolin, 2010. "Pricing the term structure of inflation risk premia: Theory and evidence from TIPS," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 702-721, September.
- Jens H. E. Christensen & Glenn D. Rudebusch, 2019.
"A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt,"
The Review of Economics and Statistics, MIT Press, vol. 101(5), pages 933-949, December.
- Jens H. E. Christensen & Glenn D. Rudebusch, 2018. "A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt," Working Paper Series 2017-07, Federal Reserve Bank of San Francisco.
- Kajuth, Florian & Watzka, Sebastian, 2011.
"Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 51(3), pages 225-235, June.
- Kajuth, Florian & Watzka, Sebastian, 2008. "Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia," Discussion Papers in Economics 4858, University of Munich, Department of Economics.
- Kajuth, Florian & Watzka, Sebastian, 2011. "Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia," Munich Reprints in Economics 19535, University of Munich, Department of Economics.
- William Dudley & Michelle Steinberg Ezer & Jennifer E. Roush, 2009.
"The case for TIPS: an examination of the costs and benefits,"
Economic Policy Review, Federal Reserve Bank of New York, vol. 15(Jul), pages 1-17.
- William Dudley & Michelle Steinberg Ezer & Jennifer E. Roush, 2008. "The case for TIPS: an examination of the costs and benefits," Staff Reports 353, Federal Reserve Bank of New York.
- William Dudley, 2009. "The case for TIPS: an examination of the costs and benefits," Speech 11, Federal Reserve Bank of New York.
- Li, Kai, 2019. "Portfolio selection with inflation-linked bonds and indexation lags," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
- Agnieszka M. Chomicz-Grabowska & Lucjan T. Orlowski, 2020. "Financial market risk and macroeconomic stability variables: dynamic interactions and feedback effects," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(4), pages 655-669, October.
- Westerhout, Ed, 2021. "Inflation-Linked Bonds, Nominal Bonds, and Countercyclical Monetary Policies," Other publications TiSEM ee384b1f-4e6f-4f30-821e-d, Tilburg University, School of Economics and Management.
- Tobias Adrian & Hao Wu, 2009. "The term structure of inflation expectations," Staff Reports 362, Federal Reserve Bank of New York.
- Martin M Andreasen & Jens H E Christensen & Simon Riddell, 2021. "The TIPS Liquidity Premium [Decomposing real and nominal yield curves]," Review of Finance, European Finance Association, vol. 25(6), pages 1639-1675.
- Haensly, Paul J., 2016. "Is a pure TIPS strategy truly risk free?," Review of Financial Economics, Elsevier, vol. 28(C), pages 1-20.
- Baumeister, Christiane, 2021.
"Measuring Market Expectations,"
CEPR Discussion Papers
16520, C.E.P.R. Discussion Papers.
- Christiane Baumeister, 2021. "Measuring Market Expectations," Working Papers 202163, University of Pretoria, Department of Economics.
- Christiane Baumeister, 2021. "Measuring Market Expectations," CESifo Working Paper Series 9305, CESifo.
- Christiane Baumeister, 2021. "Measuring Market Expectations," NBER Working Papers 29232, National Bureau of Economic Research, Inc.
- Gilbert Cette & Marielle de Jong, 2013.
"Market-implied inflation and growth rates adversely affected by the Brent,"
Journal of Asset Management, Palgrave Macmillan, vol. 14(3), pages 133-139, June.
- Gilbert Cette & Marielle De Jong, 2013. "Market-implied inflation and growth rates adversely affected by the Brent," Post-Print hal-01499631, HAL.
- Cette, G. & de Jong, M., 2013. "Market-implied inflation and growth rates adversely affected by the Brent," Working papers 433, Banque de France.
- Lukasz Rachel & Lawrence H. Summers, 2019.
"On Secular Stagnation in the Industrialized World,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 50(1 (Spring), pages 1-76.
- Łukasz Rachel & Lawrence H. Summers, 2019. "On Secular Stagnation in the Industrialized World," NBER Working Papers 26198, National Bureau of Economic Research, Inc.
- J. Benson Durham, 2006. "An estimate of the inflation risk premium using a three-factor affine term structure model," Finance and Economics Discussion Series 2006-42, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- José Valentim Machado Vicente & Osmani Teixeira de Carvalho Guillen, 2010. "Do Inflation-linked Bonds Contain Information about Future Inflation?," Working Papers Series 214, Central Bank of Brazil, Research Department.
- Christoph E. Boehm & Niklas Kroner, 2024.
"Monetary Policy without Moving Interest Rates: The Fed Non-Yield Shock,"
International Finance Discussion Papers
1392, Board of Governors of the Federal Reserve System (U.S.).
- Christoph Boehm & T. Niklas Kroner, 2024. "Monetary Policy without Moving Interest Rates: The Fed Non-Yield Shock," NBER Working Papers 32636, National Bureau of Economic Research, Inc.
- Goliński, Adam & Zaffaroni, Paolo, 2016. "Long memory affine term structure models," Journal of Econometrics, Elsevier, vol. 191(1), pages 33-56.
- John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009.
"Understanding Inflation-Indexed Bond Markets,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 40(1 (Spring), pages 79-138.
- John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Cowles Foundation Discussion Papers 1696, Cowles Foundation for Research in Economics, Yale University.
- Shiller, Robert J. & Campbell, John Y. & Viceira, Luis Manuel, 2009. "Understanding Inflation-Indexed Bond Markets," Scholarly Articles 10885503, Harvard University Department of Economics.
- John Campbell & Robert Shiller & Luis Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Yale School of Management Working Papers amz2587, Yale School of Management.
- John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," NBER Working Papers 15014, National Bureau of Economic Research, Inc.
- François Gourio & Phuong Ngo, 2024. "Downward Nominal Rigidities and Bond Premia," Working Paper Series WP 2024-09, Federal Reserve Bank of Chicago.
- Phuong Ngo & Francois Gourio, 2016.
"Risk Premia at the ZLB: a macroeconomic interpretation,"
2016 Meeting Papers
1585, Society for Economic Dynamics.
- François Gourio & Phuong Ngo, 2020. "Risk Premia at the ZLB: A Macroeconomic Interpretation," Working Paper Series WP 2020-01, Federal Reserve Bank of Chicago.
- François Gourio & Phuong Ngo, 2020. "Risk Premia at the ZLB: A Macroeconomic Interpretation," Working Paper Series WP-2020-01, Federal Reserve Bank of Chicago.
- Thomas M. Mertens & Tony Zhang, 2023. "A Financial New Keynesian Model," Working Paper Series 2023-35, Federal Reserve Bank of San Francisco.
- Georgiadis, Georgios & Jarociński, Marek, 2023. "Global spillovers from multi-dimensional US monetary policy," Working Paper Series 2881, European Central Bank.
- Jens Christensen & Sarah Mouabbi, 2024. "The Natural Rate of Interest in the Euro Area: Evidence from Inflation-Indexed Bonds," Working papers 948, Banque de France.
- Christensen, Jens H.E. & Gillan, James M., 2022. "Does quantitative easing affect market liquidity?," Journal of Banking & Finance, Elsevier, vol. 134(C).
- 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.
- Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista, 2015. "UK Term Structure Decompositions at the Zero Lower Bound," Working Papers 755, Queen Mary University of London, School of Economics and Finance.
- A. Carriero & S. Mouabbi & E. Vangelista, 2016. "UK term structure decompositions at the zero lower bound," Working papers 589, Banque de France.
- Francisco Palomino & Alex Hsu, 2013. "What do Nominal Rigidities and Monetary Policy tell us about the Real Yield Curve?," 2013 Meeting Papers 50, Society for Economic Dynamics.
- Marie Brière & Ombretta Signori, 2012. "Inflation-Hedging Portfolios : Economic Regimes Matter," Post-Print hal-01494498, HAL.
- Dominic Anene & Stefania D'Amico, 2017. "A Tale of Four Tails: Inflation, the Policy Rate, Longer-Term Rates, and Stock Prices," Working Paper Series WP-2017-26, Federal Reserve Bank of Chicago.
- Eguren Martin, Fernando & Meldrum, Andrew & Yan, Wen, 2021.
"No-Arbitrage pricing of GDP-Linked bonds,"
Journal of Banking & Finance, Elsevier, vol. 126(C).
- Eguren-Martin, Fernando & Meldrum, Andrew & Yan, Wen, 2020. "No-arbitrage pricing of GDP-linked bonds," Bank of England working papers 849, Bank of England.
- Orlowski, Lucjan T. & Soper, Carolyne, 2019. "Market risk and market-implied inflation expectations," International Review of Financial Analysis, Elsevier, vol. 66(C).
- Jose E. Gomez-Gonzalez & Jorge M. Uribe & Oscar M. Valencia, 2023. "Sovereign Risk and Economic Complexity: Machine Learning Insights on Causality and Prediction," IREA Working Papers 202315, University of Barcelona, Research Institute of Applied Economics, revised Nov 2023.
- Meredith J. Beechey & Benjamin K. Johannsen & Andrew T. Levin, 2011.
"Are Long-Run Inflation Expectations Anchored More Firmly in the Euro Area Than in the United States?,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 3(2), pages 104-129, April.
- Levin, Andrew & Beechey, Meredith J & Johannsen, Benjamin K, 2007. "Are Long-Run Inflation Expectations Anchored More Firmly in the Euro Area than in the United States?," CEPR Discussion Papers 6536, C.E.P.R. Discussion Papers.
- Meredith J. Beechey & Benjamin K. Johannsen & Andrew T. Levin, 2008. "Are long-run inflation expectations anchored more firmly in the Euro area than in the United States?," Finance and Economics Discussion Series 2008-23, Board of Governors of the Federal Reserve System (U.S.).
- Felix Geiger, 2009. "International Interest-Rate Risk Premia in Affine Term Structure Models," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 316/2009, Department of Economics, University of Hohenheim, Germany.
- Roman Horvath & Lorant Kaszab & Ales Marsal, 2022.
"Fiscal Policy And the Nominal Term Premium,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(2-3), pages 663-683, March.
- Kaszab, Lorant & Marsal, Ales, 2013. "Fiscal Policy and the Nominal Term Premium," Cardiff Economics Working Papers E2013/13, Cardiff University, Cardiff Business School, Economics Section.
- Roman Horvath & Lorant Kaszab & Ales Marsal, 2019. "Fiscal Policy and the Nominal Term Premium," Working and Discussion Papers WP 9/2019, Research Department, National Bank of Slovakia.
- Roman Horvath & Lóránt Kaszab & Ales Marsal, 2019. "Fiscal Policy and the Nominal Term Premium," MNB Working Papers 2019/2, Magyar Nemzeti Bank (Central Bank of Hungary).
- Schupp, Fabian, 2020.
"The (ir)relevance of the nominal lower bound for real yield curve analysis,"
Working Paper Series
2476, European Central Bank.
- Schupp, Fabian, 2020. "The (ir)relevance of the nominal lower bound for real yield curve analysis," Discussion Papers 32/2020, Deutsche Bundesbank.
- Swinkels, Laurens, 2018. "Simulating historical inflation-linked bond returns," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 374-389.
- 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.
- Paul Söderlind, 2008. "Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty," University of St. Gallen Department of Economics working paper series 2008 2008-12, Department of Economics, University of St. Gallen.
- Paul Söderlind, 2009. "Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty," Working Papers 2009-04, Swiss National Bank.
- Söderlind, Paul, 2009. "Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty," CEPR Discussion Papers 7250, C.E.P.R. Discussion Papers.
- Marente Vlekke & Martin Mellens, 2020. "An assessment of the Phillips curve over time: evidence for the United States and the euro area," CPB Discussion Paper 416.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
- Orphanides, Athanasios & Wei, Min, 2012.
"Evolving macroeconomic perceptions and the term structure of interest rates,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 239-254.
- Athanasios Orphanides & Min Wei, 2010. "Evolving macroeconomic perceptions and the term structure of interest rates," Finance and Economics Discussion Series 2010-01, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- 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).
- Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2018. "The information in the joint term structures of bond yields," Bank of England working papers 772, Bank of England.
- Christensen, Jens H.E. & Spiegel, Mark M., 2023.
"Central bank credibility during COVID-19: Evidence from Japan,"
Journal of International Money and Finance, Elsevier, vol. 131(C).
- Jens H. E. Christensen & Mark M. Spiegel, 2021. "Central Bank Credibility During COVID-19: Evidence from Japan," Working Paper Series 2021-24, Federal Reserve Bank of San Francisco.
- 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.
- Remy Beauregard & Jens H. E. Christensen & Eric Fischer & Simon Zhu, 2021. "Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico," Staff Reports 961, Federal Reserve Bank of New York.
- Grishchenko, Olesya V. & Vanden, Joel M. & Zhang, Jianing, 2016.
"The informational content of the embedded deflation option in TIPS,"
Journal of Banking & Finance, Elsevier, vol. 65(C), pages 1-26.
- Olesya V. Grishchenko & Joel M. Vanden & Jianing Zhang, 2013. "The informational content of the embedded deflation option in TIPS," Finance and Economics Discussion Series 2013-24, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- Christophe Blot & Caroline Bozou & Jérôme Creel, 2022.
"Inflation expectations in the euro area: trends and policy considerations,"
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- Christophe Blot & Caroline Bozou & Jérôme Creel, 2022. "Inflation expectations in the euro area: trends and policy considerations," SciencePo Working papers Main hal-03943684, HAL.
- Maurice Obstfeld, 2023. "The Mayekawa Lecture: Perspectives on r-bar and r-star," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 41, pages 31-48, November.
- Chernov, Mikhail & Mueller, Philippe, 2012.
"The term structure of inflation expectations,"
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- Chernov, Mikhail & Mueller, Philippe, 2008. "The Term Structure of Inflation Expectations," CEPR Discussion Papers 6809, C.E.P.R. Discussion Papers.
- Philippe Mueller & Mikhail Chernov, 2008. "The Term Structure of Inflation Expectations," 2008 Meeting Papers 346, Society for Economic Dynamics.
- Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2017.
"Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del Gobierno colombiano,"
Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE, vol. 78, February.
- Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandia & José Fernando Moreno-Gutiérrez, 2015. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano," Borradores de Economia 903, Banco de la Republica de Colombia.
- Juan Andrés Espinosa-Torres & Luis Fernando Melo-Velandía & José Fernando Moreno-Gutiérrez, 2015. "Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano," Borradores de Economia 13700, Banco de la Republica.
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- 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.
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- 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.
- Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2008. "Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields," Working Paper Series 2008-34, Federal Reserve Bank of San Francisco.
- Maurice Obstfeld, 2023. "Perspectives on r-bar and r-star," IMES Discussion Paper Series 23-E-03, Institute for Monetary and Economic Studies, Bank of Japan.
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"Official Demand for U.S. Debt: Implications for U.S. Real Rates,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(2-3), pages 323-364, March.
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- 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.
- Marente Vlekke & Martin Mellens & Siem Jan Koopmans, 2020. "An assessment of the Phillips curve over time: evidence for the United States and the euro area," CPB Discussion Paper 416, CPB Netherlands Bureau for Economic Policy Analysis.
- Gomez-Gonzalez, Jose E. & Uribe, Jorge M. & Valencia, Oscar, 2024. "Sovereign Risk and Economic Complexity," IDB Publications (Working Papers) 13393, Inter-American Development Bank.
- Jens H. E. Christensen & Xin Zhang, 2024.
"Quantitative Easing, Bond Risk Premia and the Exchange Rate in a Small Open Economy,"
Working Paper Series
2024-13, Federal Reserve Bank of San Francisco.
- Jens H. E. Christensen & Xin Zhang, 2024. "Quantitative Easing, Bond Risk Premia and the Exchange Rate in a Small Open Economy," Working Paper Series 2024-13, Federal Reserve Bank of San Francisco.
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- Brandyn Bok & Thomas M. Mertens & John C. Williams, 2022.
"Macroeconomic Drivers and the Pricing of Uncertainty, Inflation, and Bonds,"
Staff Reports
1011, Federal Reserve Bank of New York.
- Brandyn Bok & Thomas M. Mertens & John C. Williams, 2022. "Macroeconomic Drivers and the Pricing of Uncertainty, Inflation, and Bonds," Working Paper Series 2022-06, Federal Reserve Bank of San Francisco.
- Peter Hördahl & Oreste Tristani, 2014. "Inflation Risk Premia in the Euro Area and the United States," International Journal of Central Banking, International Journal of Central Banking, vol. 10(3), pages 1-47, September.
- Berardi, Andrea & Plazzi, Alberto, 2022.
"Dissecting the yield curve: The international evidence,"
Journal of Banking & Finance, Elsevier, vol. 134(C).
- Andrea Berardi & Alberto Plazzi, 2019. "Dissecting the Yield Curve: The International Evidence," Swiss Finance Institute Research Paper Series 19-73, Swiss Finance Institute.
- repec:dau:papers:123456789/7744 is not listed on IDEAS
- Sungjun Cho & Liu Liu, 2023. "Correcting estimation bias in regime switching dynamic term structure models," Review of Quantitative Finance and Accounting, Springer, vol. 61(3), pages 1093-1127, October.
- Grishchenko, Olesya V., 2011. "Asset pricing in the production economy subject to monetary shocks," Journal of Economics and Business, Elsevier, vol. 63(3), pages 187-216, May.
- Ahn, Jungkyu & Ahn, Yongkil, 2023. "What drives the TIPS–Treasury bond mispricing?," Journal of Empirical Finance, Elsevier, vol. 74(C).
- Westerhout, Ed, 2021. "Inflation-Linked Bonds, Nominal Bonds, and Countercyclical Monetary Policies," Discussion Paper 2021-001, Tilburg University, Center for Economic Research.
- Meredith J. Beechey, 2008. "Lowering the anchor: how the Bank of England's inflation-targeting policies have shaped inflation expectations and perceptions of inflation risk," Finance and Economics Discussion Series 2008-44, Board of Governors of the Federal Reserve System (U.S.).
- P. Lopez, 2014. "The Term Structure of the Welfare Cost of Uncertainty," Working papers 521, Banque de France.
- Abudy, Menachem Meni & Nathan, Daniel & Wohl, Avi, 2024. "Mutual fund flows and government bond returns," Journal of Banking & Finance, Elsevier, vol. 162(C).
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