Extracting inflation expectations from the term structure: The fisher equation in a multivariate SDF framework

International Journal of Finance and Economics

Volumn 11, Issue 3, 2006, Pages 261-277

  Balfoussia, Hiona ^a   Wickens, Mike ^a,b  

^a UNIVERSITY OF YORK   (United Kingdom)

^b CEPR   (United Kingdom)

Author keywords

Consumption CAPM; Fisher equation; GARCH; Inflation; Macroeconomic risk; Stochastic discount factor; Term premium; Term structure

Indexed keywords

ECONOMETRICS; INFLATION; INTEREST RATE; MACROECONOMICS; METHODOLOGY; MULTIVARIATE ANALYSIS; STOCHASTICITY;

NORTH AMERICA; UNITED STATES;

EID: 33748522001     PISSN: 10769307     EISSN: 10991158     Source Type: Journal    
DOI: 10.1002/ijfe.297     Document Type: Conference Paper

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