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Breakeven Inflation Rates 1 Commodity Futures 1 Core Inflation 1 Cross-Hedging 1 Equilibrium Pricing 1 Inflation 1 Inflation Pass-Through 1 Kalman Filter 1 Multi-dimensional Gaussian Model 1 Oil Futures 1 Schwartz-Smith Model 1 Signal Processing 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
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Fulli-Lemaire, Nicolas 1 Palidda, Ernesto 1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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Cross-Hedging of Inflation Derivatives on Commodities: The Informational Content of Futures Markets
Fulli-Lemaire, Nicolas; Palidda, Ernesto - Volkswirtschaftliche Fakultät, … - 2013
According to the macro-econometric literature, the impact of exogenous oil price shocks on Inflation have greatly increased in the last two decades throughout OECD countries while the persistence of those shocks on long-term inflation, namely core inflation, has dramatically decreased. In the...
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