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This paper uses the celebrated no-arbitrage affine Gaussian term structure model applied to index-linked and standard government bonds to derive expected inflation rates and the corresponding inflation risk premia, in the euro area and in the United States. After estimating the model using...
Persistent link: https://www.econbiz.de/10013120560
We study euro-area risk-adjusted expected inflation and the inflation risk premium at different maturities, leveraging inflation swaps, inflation options and survey-based forecasts. We introduce a model that features time-varying long-term average inflation and time-varying inflation volatility...
Persistent link: https://www.econbiz.de/10014235921
This paper uses the celebrated no-arbitrage affine Gaussian term structure model applied to index-linked and standard government bonds to derive expected inflation rates and inflation risk premia, in the euro area and in the US. Maximum likelihood estimates show that the model describes the...
Persistent link: https://www.econbiz.de/10013110054
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