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Inflation Risk Premium: Evidence from the Tips Market
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Inflation Risk Premium: Evidence from the Tips Market (2009)Inflation Risk Premium: Evidence from the…Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices (2011)Tips from TIPS: The Informati…Expectations, Bond Yields, and Monetary Policy (2010)Expectations, Bond Yields, an…The Term Structure of Inflation Expectations (2008)The Term Structure of Inflati…Estimating Real and Nominal Term Structures using Treasury Yields Inflation Inflation Forecasts and Inflation Swap Rates (2008)Estimating Real and Nominal T…Do macro variables, asset markets, or surveys forecast inflation better? (2007)Do macro variables, asset mar…Liquidity Risk Premia and Breakeven Inflation Rates (2006)Liquidity Risk Premia and Bre…Inflation risk premia and the expectations hypothesis (2005)Inflation risk premia and the…Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model (2003)Pricing Treasury Inflation Pr…A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)A no-arbitrage vector autoreg…A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables (1999)A No-Arbitrage Vector Autoreg…Real Rates, Expected Inflation, and Inflation Risk Premia (1998)Real Rates, Expected Inflatio…A Scorecard for Indexed Government Debt (1996)A Scorecard for Indexed Gover…Interpreting the Movements in Short-Term Interest Rates (1992)Interpreting the Movements in…Real and Nominal Interest Rates under Uncertainty: The Fisher Theorem and the Term Structure (1983)Real and Nominal Interest Rat…The Demand for Index Bonds (1975)The Demand for Index BondsAn equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Discretion versus policy rules in practice (1993)Affine Term Structure Models (2010)The term structure of inflation expectations (2012)The TIPS‐Treasury Bond Puzzle (2013)Common risk factors in the returns on stocks and bonds (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)The Role of Securities in the Optimal Allocation of Risk-bearing (1973)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)The Term Structure of Interest Rates (1987)Chapter 13 The term structure of interest rates (1990)Elections and Markets: The Effect of Partisanship, Policy Risk, and Electoral Margins on the Economy (2005)Money and Economic Growth (1965)Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dynamic Asset Pricing Theory. (1993)Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth (2005)The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks (2012)Crises and Recoveries in an Empirical Model of Consumption Disasters (2013)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)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Postwar U.S. Business Cycles: An Empirical Investigation (1997)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)The Determinants of Stock and Bond Return Comovements (2010)Time-varying short-horizon predictability☆ (2010)Expectations of Returns and Expected Returns (2014)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Explaining the Rate Spread on Corporate Bonds (2001)Brownian Motion and Stochastic Calculus (2007)Mortgage timing (2009)Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices (2018)Reconstructing the yield curve (2021)A consumption-based model of the term structure of interest rates☆ (2005)Bond Risk Premia (2005)Macro Factors in Bond Risk Premia (2009)The Econometrics of Financial Markets (2012)Inflation, Fisher Equation, and the Term Structure of Inflation Risk Premia: Theory and Evidence from Tips (2005)Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices (2008)Understanding Inflation-Indexed Bond Markets (2009)Term Structure Estimation with Survey Data on Interest Rate Forecasts (2006)Trend and Cycle in Bond Premia (2009)Term Structure Estimation with Survey Data on Interest Rate Forecasts (2011)
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References

  • 2003A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables1,687 cited
  • 2007Do macro variables, asset markets, or surveys forecast inflation better?801 cited
  • 1999A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables543 cited
  • 1975The Demand for Index Bonds298 cited
  • 1998Real Rates, Expected Inflation, and Inflation Risk Premia258 cited
  • 2005Inflation risk premia and the expectations hypothesis253 cited
  • 2003Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model211 cited
  • 2010Expectations, Bond Yields, and Monetary Policy142 cited
  • 1983Real and Nominal Interest Rates under Uncertainty: The Fisher Theorem and the Term Structure88 cited
  • 1996A Scorecard for Indexed Government Debt86 cited
  • 2008The Term Structure of Inflation Expectations57 cited
  • 2008Estimating Real and Nominal Term Structures using Treasury Yields Inflation Inflation Forecasts and Inflation Swap Rates54 cited
  • 2006Liquidity Risk Premia and Breakeven Inflation Rates50 cited
  • 2011Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices47 cited
  • 1992

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Interpreting the Movements in Short-Term Interest Rates
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