Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields

Journal of Money, Credit and Banking

Volumn 42, Issue SUPPL. 1, 2010, Pages 143-178

  Christensen, Jens H E ^a   Lopez, Jose A ^b   Rudebusch, Glenn D ^c  

^a FEDERAL RESERVE BANK OF NEW YORK   (United States)

^b LONDON BUSINESS SCHOOL   (United Kingdom)

^c FEDERAL RESERVE BANK OF SAN FRANCISCO   (United States)

Author keywords

Arbitrage free term structure modeling; Inflation expectations; Real interest rates; Treasury inflation protected securities

Indexed keywords

EID: 77955744080     PISSN: 00222879     EISSN: 15384616     Source Type: Journal    
DOI: 10.1111/j.1538-4616.2010.00332.x     Document Type: Article

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