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Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering
14 references·10 citing·47 second hop
Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering (1986)Estimation of Unobserved Expected Monthly…The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning (1995)The Arbitrage Pricing Theory …Journal of monetary economics (1987)Journal of monetary economicsUncovering Financial Market Expectations of Inflation (1985)Uncovering Financial Market E…Money, Real Interest Rates, and Output: A Reinterpretation of Postwar U.S. Data (1985)Money, Real Interest Rates, a…A comparison of inflation forecasts (1984)A comparison of inflation for…Money, Real Interest Rates, and Output: A Reinterpretation of Postwar U.S. Data (1983)Money, Real Interest Rates, a…Stocks, bonds, bills, and inflation : the past and the future (1982)Stocks, bonds, bills, and inf…Kalman filtering estimation of unobserved rational expectations with an application to the German hyperinflation (1982)Kalman filtering estimation o…Inflation, real returns and capital investment (1982)Inflation, real returns and c…The real interest rate: An empirical investigation (1981)The real interest rate: An em…The Real Interest Rate: An Empirical Investigation (1981)The Real Interest Rate: An Em…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…The Identification Problem for Multiple Equation Systems with Moving Average Errors (1971)The Identification Problem fo…The financial analysts journal (1960)The financial analysts journalMeasuring market expectations (2023)Measuring market expectationsMonetary policy rules and regime shifts (2003)Monetary policy rules and reg…Low-Frequency Movements in Stock Prices: A State-Space Decomposition (2002)Low-Frequency Movements in St…CONSUMERS' INFLATION EXPECTATIONS AND MONETARY POLICY IN EUROPE (2002)CONSUMERS' INFLATION EXPECTAT…Structural breaks, ARIMA model and Finnish inflation forecasts (2001)Structural breaks, ARIMA mode…Estimation of Perceived Risk and Its Effect on Property Values (2001)Estimation of Perceived Risk …A BOUNDED RATIONALITY DECISION PROCESS MODEL (1990)A BOUNDED RATIONALITY DECISIO…A Bounded Rationality Decision Process Model (1989)A Bounded Rationality Decisio…THE ARBITRAGE PRICING THEORY AND MACROECONOMIC FACTOR MEASURES (1986)THE ARBITRAGE PRICING THEORY …Two estimators for the apt model when factors are measured (1985)Two estimators for the apt mo…Time Series Analysis, Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Stock Returns, Real Activity, Inflation, and Money (1981)The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions (1984)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)A Cross-Sectional Test of an Investment-Based Asset Pricing Model (1996)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Foundations of Finance. (1977)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)The Pricing of Exchange Rate Risk in the Stock Market (1991)Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets (1992)Presidential Address: Expected Return, Realized Return, and Asset Pricing Tests (1999)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE FINANCIAL AND TAX EFFECTS OF MONETARY POLICY ON INTEREST RATES (1975)Do Workers Prefer Increasing Wage Profiles? (1991)Journal of the American Statistical Association (1995)The Evolution of Economic Understanding and Postwar Stabilization Policy (2002)The Liquidation of Government Debt (2011)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Consumption, production, inflation and interest rates (1986)Does the Failure of the Expectations Hypothesis Matter for Long‐Term Investors? (2005)Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon? (2005)Expectations and the neutrality of money (1972)MONEY, INCOME, AND CAUSALITY (1972)Macroeconomics and Reality (1980)Money and Interest in Cash-In-Advance Economy (1984)Vector Autoregression and the Study of Politics (1989)The Debt-Deflation Theory of Great Depressions (1933)On Endogenous Competitive Business Cycles (1986)A Markov Model of Switching-Regime ARCH (1994)Urban Diversity and Economic Growth (1998)Financial Intermediation and Credit Policy in Business Cycle Analysis (2010)This time is different: eight centuries of financial folly (2010)Statistical Analysis of Econometric Models (1979)The New Palgrave Dictionary of Economics Online (2008)Dynamic Identification of Dynamic Stochastic General Equilibrium Models (2011)Shocks (1994)Idiosyncratic Variation of Treasury Bill Yields (1996)Stock prices and domestic and international macroeconomic activity: a cointegration approach (2000)Modelling the persistence of conditional variances (1986)First Impressions Matter: A Model of Confirmatory Bias (1999)Institutional Investors and Equity Prices (2001)
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References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1960The financial analysts journal1,043 cited
  • 1987Journal of monetary economics779 cited
  • 1982Inflation, real returns and capital investment477 cited
  • 1984A comparison of inflation forecasts380 cited
  • 1983Money, Real Interest Rates, and Output: A Reinterpretation of Postwar U.S. Data236 cited
  • 1985Money, Real Interest Rates, and Output: A Reinterpretation of Postwar U.S. Data229 cited
  • 1981The Real Interest Rate: An Empirical Investigation206 cited
  • 1971The Identification Problem for Multiple Equation Systems with Moving Average Errors184 cited
  • 1981The real interest rate: An empirical investigation171 cited
  • 1982Stocks, bonds, bills, and inflation : the past and the future170 cited
  • 1995The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning149 cited
  • 1985Uncovering Financial Market Expectations of Inflation126 cited
  • 1982Kalman filtering estimation of unobserved rational expectations with an application to the German hyperinflation111 cited

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  • 1986THE ARBITRAGE PRICING THEORY AND MACROECONOMIC FACTOR MEASURES

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120 cited
  • 2002Low-Frequency Movements in Stock Prices: A State-Space Decomposition119 cited
  • 2001Estimation of Perceived Risk and Its Effect on Property Values106 cited
  • 1985Two estimators for the apt model when factors are measured57 cited
  • 2001Structural breaks, ARIMA model and Finnish inflation forecasts55 cited
  • 2003Monetary policy rules and regime shifts44 cited
  • 2002CONSUMERS' INFLATION EXPECTATIONS AND MONETARY POLICY IN EUROPE29 cited
  • 2023Measuring market expectations28 cited
  • 1989A Bounded Rationality Decision Process Model4 cited
  • 1990A BOUNDED RATIONALITY DECISION PROCESS MODEL2 cited