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The Information Content of the Inflation Term Structure
16 references·2 citing·43 second hop
The Information Content of the Inflation Term Structure (1998)The Information Content of the Inflation …Inflation, real interest rates, and the bond market: A study of UK nominal and index-linked government bond prices (1997)Inflation, real interest rate…Real Interest Rates and Inflation: An Ex‐Ante Empirical Analysis (1996)Real Interest Rates and Infla…Estimating and Interpreting the Yield Curve (1996)Estimating and Interpreting t…Optimal Debt Management (1995)Optimal Debt ManagementThe term structure of real interest rates and the Cox, Ingersoll, and Ross model (1994)The term structure of real in…Monetary Policy and the Term Structure of Interest Rates (1994)Monetary Policy and the Term …Is the Fisher effect for real? (1992)Is the Fisher effect for real?Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…What does the term structure tell us about future inflation? (1990)What does the term structure …The Information in the Longer Maturity Term Structure About Future Inflation (1990)The Information in the Longer…Yield Spreads and Interest Rate Movements: A BirdAS Eye View (1989)Yield Spreads and Interest Ra…The Information in the Longer Maturity Term Structure about Future Inflation (1989)The Information in the Longer…New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates (1989)New Hope for the Expectations…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…The Term Structure of Interest Rates Revisited (1986)The Term Structure of Interes…The Demand for Index Bonds (1975)The Demand for Index BondsReal Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate (2021)Real Return Bonds, Inflation …Ten Years of Czech Inflation Targeting: Missed Targets and Anchored Expectations (2008)Ten Years of Czech Inflation …The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)The Information in Long-Maturity Forward Rates (1987)Forward Discount Bias: Is it an Exchange Risk Premium? (1989)Macroeconomic forecasts and microeconomic forecasters (2002)The maturity of debt issues and predictable variation in bond returns (2003)Business performance and social media: Love or hate? (2014)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)A Test of the Cox, Ingersoll, and Ross Model of the Term Structure (1993)A STATE‐SPACE APPROACH TO ESTIMATE AND TEST MULTIFACTOR COX‐INGERSOLL‐ROSS MODELS OF THE TERM STRUCTURE (1999)Real risk, inflation risk, and the term structure (2003)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Consumption, production, inflation and interest rates (1986)Why do we have nominal government debt? (1988)Equilibrium Exchange Rate Hedging (1990)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)Long-horizon regressions: theoretical results and applications (2003)The Term Structure of Real Rates and Expected Inflation (2007)Econometric policy evaluation: A critique (1976)What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns (1993)Household Risk Management and Optimal Mortgage Choice (2003)Inflation Illusion and Stock Prices (2004)New techniques to extract market expectations from financial instruments (1997)Liquidity risk and specialness (2002)Pensionmetrics 2: stochastic pension plan design during the distribution phase (2003)Explaining the Rate Spread on Corporate Bonds (2001)Forecasting the Term Structure of Government Bond Yields (2003)The U.S. Treasury yield curve: 1961 to the present (2007)A multicountry comparison of term-structure forecasts at long horizons (1991)Phillips Curve Inflation Forecasts (2008)Inflation and the stock market: Understanding the “Fed Model” (2010)Interest Rate Pass‐Through and Monetary Transmission: Evidence from Individual Financial Institutions' Retail Rates (2004)Should Macroeconomic Forecasters Use Daily Financial Data and How? (2013)Expected Returns in Treasury Bonds (2015)
this work references cited by second hop

References

  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 1990What does the term structure tell us about future inflation?428 cited
  • 1992Is the Fisher effect for real?423 cited
  • 1989New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates336 cited
  • 1975The Demand for Index Bonds298 cited
  • 1996Estimating and Interpreting the Yield Curve285 cited
  • 1989The Information in the Longer Maturity Term Structure about Future Inflation256 cited
  • 1990The Information in the Longer Maturity Term Structure About Future Inflation209 cited
  • 1994The term structure of real interest rates and the Cox, Ingersoll, and Ross model188 cited
  • 1986The Term Structure of Interest Rates Revisited183 cited
  • 1989Yield Spreads and Interest Rate Movements: A BirdAS Eye View177 cited
  • 1994Monetary Policy and the Term Structure of Interest Rates174 cited
  • 1997Inflation, real interest rates, and the bond market: A study of UK nominal and index-linked government bond prices173 cited
  • 1995Optimal Debt Management130 cited

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1996
Real Interest Rates and Inflation: An Ex‐Ante Empirical Analysis
125 cited

Cited by

  • 2008Ten Years of Czech Inflation Targeting: Missed Targets and Anchored Expectations24 cited
  • 2021Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate22 cited