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Monetary reforms and inflation expectations in Japan : evidence from inflation-indexed bonds

Christensen, Jens H. E.; Spiegel, Mark - In: Journal of econometrics 231 (2022) 2, pp. 410-431

Persistent link: https://www.econbiz.de/10013464829

Inflation compensation and monetary policy

Dedes, Vasilis; Zhu, Xingyu - 2020 - This draft: November 11, 2020

Persistent link: https://www.econbiz.de/10012815906

Functional shocks to inflation expectations and real interest rates and their macroeconomic effects

Anderl, Christina; Caporale, Guglielmo Maria - In: Review of world economics 160 (2024) 4, pp. 1543-1575

Persistent link: https://www.econbiz.de/10015193719

The macroeconomic determinants of the term structure of inflation expectations in Brazil

Thiele, Eduardo; Fernandes, Marcelo - In: Brazilian review of econometrics : BRE ; the review of … 35 (2015) 1, pp. 3-22

Persistent link: https://www.econbiz.de/10011538796

The Effect of Conventional and Unconventional Monetary Policy Rules on Inflation Expectations : Theory and Evidence

Farmer, Roger E. A. - 2012

This paper has three parts. Part 1 constructs a classical economic model of inflation, augmented by a complete set of … core monetary model explains the history of inflation after WWII and Part 3 provides evidence to show that the … unconventional monetary policy, followed in the wake of the 2008 financial crisis, was effective in stabilizing inflation …

Persistent link: https://www.econbiz.de/10013107515

The Effect of Conventional and Unconventional Monetary Policy Rules on Inflation Expectations : Theory and Evidence

Farmer, Roger E.A. - 2012

Persistent link: https://www.econbiz.de/10012460653

Macroeconomic sources of risk in the term structure

Balfoussia, Chiona; Wickens, Michael R. - 2004

In this paper we develop a new way of modelling time variation in term premia. This is based on the stochastic discount factor model of asset pricing with observable macroeconomic factors. The joint distribution of excess holding period US bond returns of different maturity and the fundamental...

Persistent link: https://www.econbiz.de/10002464251

Risks in macroeconomic fundamentals and excess bond returns predictability

De Rezende, Rafael B. - 2015 - February 2015

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...

Persistent link: https://www.econbiz.de/10010478516

Term premium variability and monetary policy

Fuerst, Timothy S.; Mau, Ronald - 2016

Persistent link: https://www.econbiz.de/10011546852

Macroeconomic uncertainty and the distant forward-rate slope

Connolly, Robert A.; Dubofsky, David A.; Stivers, … - In: Journal of empirical finance 48 (2018), pp. 140-161

Persistent link: https://www.econbiz.de/10012109285