The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation
Year of publication: |
2021
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Authors: | Argyropoulos, Efthymios ; Tzavalis, Elias |
Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 80.2021, p. 785-796
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Subject: | Gaussian dynamic term structure model | Inflation | Inflation risk premia | Nominal and real term structure of interest rates | Principal components | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Schätzung | Estimation | Theorie | Theory | Inflationserwartung | Inflation expectations | Realzins | Real interest rate | Großbritannien | United Kingdom | Prognoseverfahren | Forecasting model |
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