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Uncovering Financial Market Expectations of Inflation

Citations

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Cited by:

  1. Christopher Ragan, "undated". "Deriving Agents' Inflation Forecasts from the Term Structure of Interest Rates," Staff Working Papers 95-1, Bank of Canada.
  2. Robert Faff & Richard Heaney, 1999. "An examination of the relationship between Australian industry equity returns and expected inflation," Applied Economics, Taylor & Francis Journals, vol. 31(8), pages 915-933.
  3. Francisco J. Ruge-Murcia, 2000. "Uncovering financial markets' beliefs about inflation targets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 483-512.
  4. Fotak, Veljko & Raman, Vikas & Yadav, Pradeep K., 2014. "Fails-to-deliver, short selling, and market quality," Journal of Financial Economics, Elsevier, vol. 114(3), pages 493-516.
  5. Richard H. Jefferis, 1990. "Expectations and the core rate of inflation," Economic Review, Federal Reserve Bank of Cleveland, vol. 26(Q IV), pages 13-21.
  6. Benati, Luca, 2007. "Drift and breaks in labor productivity," Journal of Economic Dynamics and Control, Elsevier, vol. 31(8), pages 2847-2877, August.
  7. Alison Tarditi & Gordon Menzies, 1991. "Monthly Movements in the Australian Dollar and Real Short-term Interest Differentials: An Application of the Kalman Filter," RBA Research Discussion Papers rdp9111, Reserve Bank of Australia.
  8. Hartmann, Matthias & Herwartz, Helmut & Ulm, Maren, 2017. "A comparative assessment of alternative ex ante measures of inflation uncertainty," International Journal of Forecasting, Elsevier, vol. 33(1), pages 76-89.
  9. Nathan S. Balke & Mark E. Wohar, 2002. "Low-Frequency Movements in Stock Prices: A State-Space Decomposition," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 649-667, November.
  10. Ravenna, Federico & Seppälä, Juha, 2007. "Monetary policy, expected inflation and inflation risk premia," Bank of Finland Research Discussion Papers 18/2007, Bank of Finland.
  11. Rodríguez, Alejandro & Ruiz, Esther, 2012. "Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 62-74, January.
  12. Yasuo Nishiyama, 2007. "Are Banks Risk-Averse?," Eastern Economic Journal, Eastern Economic Association, vol. 33(4), pages 471-490, Fall.
  13. Garcia, Márcio G., 1994. "The formation of inflation expectations in Brazil: a study of the futures market for the price level," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 48(1), January.
  14. Glocker, Christian & Wegmueller, Philipp, 2018. "International evidence of time-variation in trend labor productivity growth," Economics Letters, Elsevier, vol. 167(C), pages 115-119.
  15. Engel, Charles & Rodrigues, Anthony P, 1989. "Tests of International CAPM with Time-Varying Covariances," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(2), pages 119-138, April-Jun.
  16. Peter Zadrozny, 1997. "An Econometric Analysis of Polish Inflation Dynamics with Learning about Rational Expectations," Economic Change and Restructuring, Springer, vol. 30(2), pages 221-238, May.
  17. Bušs, Ginters, 2009. "Comparing forecasts of Latvia's GDP using simple seasonal ARIMA models and direct versus indirect approach," MPRA Paper 16684, University Library of Munich, Germany.
  18. Jonathan Skinner & Daniel Feenberg, 1990. "The Impact of the 1986 Tax Reform Act on Personal Saving," NBER Working Papers 3257, National Bureau of Economic Research, Inc.
  19. Ang, Andrew & Bekaert, Geert & Wei, Min, 2007. "Do macro variables, asset markets, or surveys forecast inflation better?," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1163-1212, May.
  20. Wu, Yangru, 1995. "Are there rational bubbles in foreign exchange markets? Evidence from an alternative test," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 27-46, February.
  21. Campbell, John Y. & Clarida, Richard H., 1987. "The dollar and real interest rates," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 27(1), pages 103-139, January.
  22. Ravenna, Federico & Seppälä, Juha, 2007. "Monetary policy, expected inflation and inflation risk premia," Research Discussion Papers 18/2007, Bank of Finland.
  23. Christiane Baumeister, 2021. "Measuring Market Expectations," Working Papers 202163, University of Pretoria, Department of Economics.
  24. Smith, Gregor W., 2009. "Pooling forecasts in linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(11), pages 1858-1866, November.
  25. Andrew Ang & Geert Bekaert & Min Wei, 2008. "The Term Structure of Real Rates and Expected Inflation," Journal of Finance, American Finance Association, vol. 63(2), pages 797-849, April.
  26. Madureira, Leonardo, 2007. "The ex ante real rate and inflation premium under a habit consumption model," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 355-382, June.
  27. Luca Benati, 2018. "Cagan s Paradox Revisited," Diskussionsschriften dp1826, Universitaet Bern, Departement Volkswirtschaft.
  28. El-Shagi, Makram, 2011. "Inflation expectations: Does the market beat econometric forecasts?," The North American Journal of Economics and Finance, Elsevier, vol. 22(3), pages 298-319.
  29. Chen, Baoline & Zadrozny, Peter A., 2009. "Estimated U.S. manufacturing production capital and technology based on an estimated dynamic structural economic model," Journal of Economic Dynamics and Control, Elsevier, vol. 33(7), pages 1398-1418, July.
  30. Mario Nigrinis Ospina, 2004. "Es lineal la Curva de Phillips en Colombia?," Borradores de Economia 282, Banco de la Republica de Colombia.
  31. Roula INGLESI-LOTZ & Renee VAN EYDEN & Charlotte DU TOIT, 2014. "The evolution and contribution of technological progress to the South African economy: Growth accounting and Kalman filter application," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 14(1), pages 175-188.
  32. Maryam Movahedifar & Hossein Hassani & Masoud Yarmohammadi & Mahdi Kalantari & Rangan Gupta, 2021. "A robust approach for outlier imputation: Singular Spectrum Decomposition," Working Papers 202164, University of Pretoria, Department of Economics.
  33. Kriwoluzky, Alexander, 2012. "Pre-announcement and timing: The effects of a government expenditure shock," European Economic Review, Elsevier, vol. 56(3), pages 373-388.
  34. Bennett T. McCallum, 1988. "Real Business Cycle Models," NBER Working Papers 2480, National Bureau of Economic Research, Inc.
  35. Bekaert, Geert & Hoerova, Marie, 2016. "What do asset prices have to say about risk appetite and uncertainty?," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 103-118.
  36. Alasdair Scott, 2000. "A multivariate unobserved components model of cyclical activity," Reserve Bank of New Zealand Discussion Paper Series DP2000/04, Reserve Bank of New Zealand.
  37. repec:zbw:bofrdp:2007_018 is not listed on IDEAS
  38. Mishkin, Frederic S, 1990. "Can Futures Market Data Be Used to Understand the Behavior of Real Interest Rates?," Journal of Finance, American Finance Association, vol. 45(1), pages 245-257, March.
  39. Box, Travis & Davis, Ryan & Evans, Richard & Lynch, Andrew, 2021. "Intraday arbitrage between ETFs and their underlying portfolios," Journal of Financial Economics, Elsevier, vol. 141(3), pages 1078-1095.
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