Similar Search Results

Term premiums and inflation uncertainty : empirical evidence from an international panel dataset

Wright, Jonathan H. - 2008

Persistent link: https://www.econbiz.de/10003830099

Forecasting US inflation by Bayesian model averaging

Wright, Jonathan H. - 2003

Persistent link: https://www.econbiz.de/10001798633

Forecasting US inflation by Bayesian model averaging

Wright, Jonathan H. - In: Journal of forecasting 28 (2009) 2, pp. 131-144

Persistent link: https://www.econbiz.de/10003814272

The economics of options-implied inflation probability density functions

Kitsul, Yuriy; Wright, Jonathan H. - 2012

Persistent link: https://www.econbiz.de/10009569513

The economics of options-implied inflation probability density functions

Kitsul, Yuriy; Wright, Jonathan H. - 2012 - First Draft: January 3, 2012, This version: June 6, 2012

Recently a market in options based on CPI inflation (inflation caps and floors) has emerged in the US. This paper uses quotes on these derivatives to construct probability densities for inflation. We study how these pdfs respond to news announcements, and find that the implied odds of deflation...