Showing 1 - 10 of 32
To study inflation expectations and associated risk premia in emerging bond markets, this paper provides estimates for Mexico based on an arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for their liquidity risk. In addition to documenting the existence...
Persistent link: https://www.econbiz.de/10012619538
Persistent link: https://www.econbiz.de/10012548541
To study inflation expectations and associated risk premia in emerging bond markets, this paper provides estimates for Mexico based on an arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for their liquidity risk. In addition to documenting the existence...
Persistent link: https://www.econbiz.de/10012498145
Persistent link: https://www.econbiz.de/10002165746
Persistent link: https://www.econbiz.de/10012260599
Persistent link: https://www.econbiz.de/10014550055
Persistent link: https://www.econbiz.de/10002165708
Recent U.S. Treasury yields have been constrained to some extent by the zero lower bound (ZLB) on nominal interest rates. In modeling these yields, we compare the performance of a standard affine Gaussian dynamic term structure model (DTSM), which ignores the ZLB, and a shadow-rate DTSM, which...
Persistent link: https://www.econbiz.de/10010728015
Prices of special financial instruments called inflation derivatives can provide valuable insight into investors’ views of future inflation. Projections from inflation swap rates suggest inflation will remain low for some time and return only slowly to levels consistent with the Federal...
Persistent link: https://www.econbiz.de/10010769189
An ongoing concern has been that the public might misconstrue the Fed’s forward guidance about future monetary policy and underappreciate the extent to which short-term interest rates may vary with future news about the economy. Evidence based on surveys, market expectations, and model...
Persistent link: https://www.econbiz.de/10010892313