Brennan, Michael J. (contributor); … - 2002 - [Elektronische Ressource]
volality of inflation, σ
P
, is constant, while the expected rate of inflation, π,
follows an Ornstein-Uhlenbeck process:
dπ =κ … bond of
maturity τ, R(τ) ≡−lnN(τ,r,η)/τ is also a linear function of r, and η, as well as
the expected rate of inflation, π … inflation and bond yields using the theoretical
relation (21) to estimate the unobservable state variables, r, π and η, and …