We build a novel term structure model for pricing synthetic euro area core inflation-linked swaps, a hypothetical swap … contract indexed to core inflation. Our approach relies on a term structure model of traded headline inflation-linked swap …

Purpose - To examine the relationship between the term structure of interest rates of sovereign bonds in emerging … significant persistence in both slope and curvature, with a rising yield level linked to the term structure's flattening, while … used an empirically constructed measure of the term structure of interest instead of a theoretical construct. To best our …