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  • Search: subject:"Inflation swaps"
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Year of publication
Subject
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inflation swaps 13 Inflation 11 Inflation expectations 8 Inflationserwartung 8 Swap 7 inflation expectations 7 anchoring 5 Indexanleihe 4 inflation options 4 option-implied density 4 tail co-movement 4 Index-linked bond 3 Inflation swaps 3 Inflation targeting 3 Inflationssteuerung 3 Risikoprämie 3 Risk premium 3 TIPS 3 Theorie 3 Theory 3 Yield curve 3 Zinsstruktur 3 EU-Staaten 2 Forecasting model 2 Inflation rate 2 Inflation-linked bonds 2 Inflationsrate 2 Prognoseverfahren 2 Public bond 2 Rentenmarkt 2 TIPS-Treasury puzzle 2 financial crisis 2 liquidity risk 2 price discovery 2 Öffentliche Anleihe 2 Anleihe 1 Arbitrage 1 Auction 1 Auction theory 1 Auktion 1
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Online availability
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Free 13 Undetermined 5
Type of publication
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Book / Working Paper 12 Article 6
Type of publication (narrower categories)
All
Working Paper 10 Arbeitspapier 6 Graue Literatur 6 Non-commercial literature 6 Article in journal 5 Aufsatz in Zeitschrift 5
Language
All
English 16 Undetermined 2
Author
All
Natoli, Filippo 5 Sigalotti, Laura 5 Driessen, Joost 2 Schulz, Alexander 2 Simon, Zorka 2 Stapf, Jelena 2 Amin, Shehryar 1 Barria, Rodrigo 1 Bauer, Michael Dominic 1 Campbell, Colin 1 Casiraghi, Marco 1 Chibane, Messaoud 1 Curto, José Dias 1 Diercks, Anthony M. 1 Finlay, Richard 1 Jarrow, Robert A. 1 Kuhanathan, Ano 1 Miccoli, Marcello 1 Nijman, Theo E. 1 Nijman, Theodore E. 1 Olivan, David 1 Pinter, Gabor 1 Ribeiro, Pedro Pires 1 Sharpe, Steven A. 1 Soques, Daniel 1 Tédongap, Roméo 1 Yildirim, Yildiray 1
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Institution
All
Task Force on Low Inflation (LIFT) 2 Deutsche Bundesbank 1 Federal Reserve Bank of San Francisco 1
Published in...
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ECB Working Paper 2 Working paper series / European Central Bank 2 Annual review of financial economics 1 Discussion Paper Series 1 1 Discussion Paper Series 1: Economic Studies 1 Economics letters 1 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 1 Finance and economics discussion series 1 Finance research letters 1 Journal of banking & finance 1 RBA Bulletin 1 SAFE Working Paper 1 SAFE working paper 1 Staff working papers / Bank of England 1 Temi di discussione / Banca d'Italia 1 Working Paper Series / Federal Reserve Bank of San Francisco 1
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Source
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ECONIS (ZBW) 11 EconStor 4 RePEc 3
Showing 1 - 10 of 18
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Mispricing in inflation markets
Barria, Rodrigo; Pinter, Gabor - 2023
Persistent link: https://www.econbiz.de/10014373722
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The swaps strike back : evaluating expectations of one-year inflation
Diercks, Anthony M.; Campbell, Colin; Sharpe, Steven A.; … - 2023
Persistent link: https://www.econbiz.de/10014388456
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Inflation-adjusted bonds, swaps, and derivatives
Jarrow, Robert A.; Yildirim, Yildiray - In: Annual review of financial economics 15 (2023), pp. 449-471
Persistent link: https://www.econbiz.de/10014426345
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Is the fed failing to re-anchor expectations? : an analysis of jumps in inflation swaps
Chibane, Messaoud; Kuhanathan, Ano - In: Finance research letters 55 (2023) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10014473546
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The changing landscape of treasury auctions
Amin, Shehryar; Tédongap, Roméo - In: Journal of banking & finance 148 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014248254
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The missing piece of the puzzle: Liquidity premiums in inflation-indexed markets
Driessen, Joost; Nijman, Theo E.; Simon, Zorka - 2017
-indexed bonds (TIPS) and inflation swaps. Using US data, we show that the level of liquidity affects TIPS, whereas swap yields …
Persistent link: https://www.econbiz.de/10011730628
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A new indicator of inflation expectations anchoring
Natoli, Filippo; Sigalotti, Laura - 2017
, focusing on the post-crisis period. First of all, we estimate a set of measures of average and tail correlation using inflation … swaps and options, following Natoli and Sigalotti (2016). To quantify the degree of anchoring, we also propose a new …
Persistent link: https://www.econbiz.de/10011606041
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Tail co-movement in inflation expectations as an indicator of anchoring
Natoli, Filippo; Sigalotti, Laura - 2017
We analyze the degree of anchoring of inflation expectations in the euro area during the post-crisis period, with a focus on the time span from 2014 onwards when long-term beliefs have substantially drifted away from the policy target. Using a new estimation technique, we look at tail...
Persistent link: https://www.econbiz.de/10011606042
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An indicator of inflation expectations anchoring
Natoli, Filippo; Sigalotti, Laura - 2017
Persistent link: https://www.econbiz.de/10011947804
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Cover Image
A new indicator of inflation expectations anchoring
Natoli, Filippo; Sigalotti, Laura - Task Force on Low Inflation (LIFT) - 2017
, focusing on the post-crisis period. First of all, we estimate a set of measures of average and tail correlation using inflation … swaps and options, following Natoli and Sigalotti (2016). To quantify the degree of anchoring, we also propose a new …
Persistent link: https://www.econbiz.de/10011636301
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