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In this paper we estimate inflation expectations for several Latin American countries using an affine model that takes as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds. By implementing this approach, we avoid the use of...
Persistent link: https://www.econbiz.de/10011883446
Concerns about climate change are now widespread, and the risks for financial assets have become more evident. Investors are increasingly aware of the need to incorporate climate-related considerations in their investment decisions. All this has had an impact on market valuations. In this paper,...
Persistent link: https://www.econbiz.de/10013295917
The theoretical literature on term structure models emphasises the importance of the expected absorption of duration risk during the residual life of term bonds in order to understand the yield curve effect of central banks’ government bond purchases. Motivated by this, we develop a...
Persistent link: https://www.econbiz.de/10014258432
The return of high inflation in Latin America (and worldwide) since 2021 has renewed concerns about the persistence of above-target inflation and a potential de-anchoring of inflation expectations. This paper shows that trend inflation estimation using forward-looking information can offer...
Persistent link: https://www.econbiz.de/10015358007
Estimating the market risk is conditioned by the fat tail of the distribution of returns. But the tail index depends on the threshold of this distribution fat tail. We propose a methodology based on the decomposition of the series into positive outliers, Gaussian central part and negative...
Persistent link: https://www.econbiz.de/10013492616
This article shows how indicators of agents' inflation expectations can be derived from the prices of various financial instruments and presents the estimates obtained for the euro area and the United States. The results show that these metrics have reacted to economic and monetary decisions...
Persistent link: https://www.econbiz.de/10012946206