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Inflation Risks and Inflation Risk Premia
4 references·5 citing·38 second hop
Inflation Risks and Inflation Risk Premia (2010)Inflation Risks and Inflation Risk PremiaNew-Keynesian Macroeconomics and the Term Structure (2005)New-Keynesian Macroeconomics …An Introduction to the Ecb's Survey of Professional Forecasters (2005)An Introduction to the Ecb's …In!ation forecast uncertainty (2003)In!ation forecast uncertaintyA No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)A No-Arbitrage Vector Autoreg…International Yield Comovements (2022)International Yield Comovemen…ESTIMATING INFLATION RISK PREMIA USING INFLATION‐LINKED BONDS: A REVIEW (2018)ESTIMATING INFLATION RISK PRE…Delphic and Odyssean monetary policy shocks: Evidence from the euro area (2018)Delphic and Odyssean monetary…Do inflation-linked bonds contain information about future inflation? (2013)Do inflation-linked bonds con…Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia (2011)Inflation expectations from i…Inflation, real returns and capital investment (1982)Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model (1998)Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset (2011)Discretionary fiscal policy, fiscal credibility and inflation risk premium (2021)A Theory of the Term Structure of Interest Rates (1985)Common risk factors in the returns on stocks and bonds (1993)Discretion versus policy rules in practice (1993)Stock Return Predictability: Is it There? (2001)Macro Factors and the Term Structure of Interest Rates (2006)A New Perspective on Gaussian Dynamic Term Structure Models (2010)Staggered prices in a utility-maximizing framework (1983)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Cracking the Conundrum (2007)Risk, Uncertainty and Monetary Policy (2012)A Skeptical View of the Impact of the Fed’s Balance Sheet (2018)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)The relation between implied and realized volatility (1998)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)An equilibrium characterization of the term structure (1977)Parsimonious Modeling of Yield Curves (1987)Analyzing the impact of remittance, FDI and inflation rate on GDP: A comparative study of Bangladesh, Pakistan and Sri-Lanka using VAR and BEKK-GARCH approach (2024)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Evaluating Interval Forecasts (1998)Explanations of the inconsistencies in survey respondents’ forecasts (2009)Internal Consistency of Survey Respondents' Forecasts: Evidence Based on the Survey of Professional Forecasters* (2009)Assessing the temporal variation of macroeconomic forecasts by a panel of changing composition (2010)Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Estimation and Inference of Impulse Responses by Local Projections (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)The Dynamic Effects of the ECB’s Asset Purchases: A Survey-Based Identification (2021)Unconventional monetary policy announcements and information shocks in the U.S. (2021)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Term Premia and Interest Rate Forecasts in Affine Models (2002)Dissecting the Yield Curve: The International Evidence (2019)The Bank Lending Survey for the Euro Area (2005)The ECB Survey of Professional Forecasters (SPF): A Review after Eight Years' Experience (2007)Forecaster (Mis-)Behavior (2022)
this work references cited by second hop

References

  • 1999A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables543 cited
  • 2005New-Keynesian Macroeconomics and the Term Structure115 cited
  • 2005An Introduction to the Ecb's Survey of Professional Forecasters86 cited
  • 2003In!ation forecast uncertainty42 cited

Cited by

  • 2018Delphic and Odyssean monetary policy shocks: Evidence from the euro area23 cited
  • 2011Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia21 cited
  • 2022International Yield Comovements19 cited
  • 2018ESTIMATING INFLATION RISK PREMIA USING INFLATION‐LINKED BONDS: A REVIEW18 cited
  • 2013Do inflation-linked bonds contain information about future inflation?16 cited

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