Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves

Journal of Banking and Finance

Volumn 34, Issue 2, 2010, Pages 281-294

  Joyce, Michael A S ^a   Lildholdt, Peter ^b   Sorensen, Steffen ^c  

^a BANK OF ENGLAND   (United Kingdom)

^b Maersk Contractors   (Denmark)

^c Barrie and Hibbert Ltd   (United Kingdom)

Author keywords

Affine term structure model; Inflation expectations; Inflation risk premia

Indexed keywords

EID: 70449536474     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2009.07.018     Document Type: Article

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