Estimating the cost of U.S. indexed bonds

A presentation of an equilibrium bond-pricing model driven by two stochastic factors: the real interest rate and the expected rate of inflation. The models parameters are estimated using a maximum-likelihood technique based on a Kalman filter.

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Year of publication:	1997
Authors:	Foresi, Silverio ; Penati, Alessandro ; Pennacchi, George
Institutions:	Federal Reserve Bank of Cleveland
Subject:	Government securities \| Inflation (Finance) \| Interest rates \| Indexation (Economics)

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Extent:	application/pdf
Series:	Working Paper.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 9701
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005428213