Term Structure, Inflation, and Real Activity
نویسندگان
چکیده
منابع مشابه
The Term Structure of Real Rates and Expected Inflation∗
Changes in nominal interest rates must be due to either movements in real interest rates, expected inflation, or the inflation risk premium. We develop a term structure model with regime switches, time-varying prices of risk, and inflation to identify these components of the nominal yield curve. We find that the unconditional real rate curve in the U.S. is fairly flat around 1.3%. In one real r...
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ژورنال
عنوان ژورنال: Journal of Financial and Quantitative Analysis
سال: 2009
ISSN: 0022-1090,1756-6916
DOI: 10.1017/s0022109009990184