Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia
Year of publication: |
2008
|
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Authors: | Kajuth, Florian ; Watzka, Sebastian |
Publisher: |
München : Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät |
Subject: | Inflationserwartung | Öffentliche Anleihe | Indexbindung | Liquiditätspräferenz | Risikoprämie | Schätzung | USA | Inflation expectations | liquidity risk premium | inflation risk premium | treasury inflation-protected securities (TIPS) | state-space model |
Series: | Munich Discussion Paper ; 2008-13 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.5282/ubm/epub.4858 [DOI] 623507447 [GVK] hdl:10419/104269 [Handle] RePEc:lmu:muenec:4858 [RePEc] |
Classification: | E31 - Price Level; Inflation; Deflation ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; G12 - Asset Pricing |
Source: |
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Inflation expectations from index-linked bonds : correcting for liquidity and inflation risk premia
Kajuth, Florian, (2008)
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Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia
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