Nothing Special   »   [go: up one dir, main page]
create a website
Real term structure and inflation compensation in the euro area. (2012). Pericoli, Marcello.
In: Temi di discussione (Economic working papers).
RePEc:bdi:wptemi:td_841_12.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 16

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Break-even inflation rates: the Italian case. (2020). Fanari, Marco ; di Iorio, Alberto.
    In: Questioni di Economia e Finanza (Occasional Papers).
    RePEc:bdi:opques:qef_578_20.

    Full description at Econpapers || Download paper

  2. Expected inflation and inflation risk premium in the euro area and in the United States. (2012). Pericoli, Marcello.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_842_12.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Anderson N. and J. Sleath, (2001) âNew Estimates of the UK Real and Nominal Yield Curvesâ, Bank of England Working Paper, No. 126.

  2. Anderson N., F. Breedon, M. Deacon, A. Derry and M. Murphy (1996) Estimating and Interpreting the Yield Curve, Wiley, Chicester, United Kingdom.
    Paper not yet in RePEc: Add citation now
  3. Bliss R. R. (1997) âTesting Term Structure Estimation Methodsâ, in Boyle, P., Pennacchi, G., Ritchken, P., (Ed.), Vol. 9, Advances in Futures and Options Research, JAI Press, Greenwich, Connecticut, 197 - 231.
    Paper not yet in RePEc: Add citation now

  4. Campbell J. Y. and R. J. Shiller (1996) A Scorecard for Indexed Government Debt, NBER Working Paper, No.5587.

  5. Campbell J. Y., R. J. Shiller and L. M. Viceira (2009) âUnderstanding InâationIndexed Bond Marketsâ, Brookings Papers on Economic Activity, Brookings Institution, Spring, 79-138.
    Paper not yet in RePEc: Add citation now
  6. DâAmico S., D. H. Kim, and M. Wei (2008) âTips from TIPS: the informational content of Treasury Inâation-Protected Security pricesâ, Working paper 248, Bank for International Settlements.
    Paper not yet in RePEc: Add citation now
  7. ECB (2009) âThe Euro Area Financial Systemâ, Financial Stability Review, December.
    Paper not yet in RePEc: Add citation now
  8. Ejsing J., J. A. GarcÃa and T. Werner (2007) âThe term structure of euro area breakeven inâation rates âThe impact of seasonalityâ, European Central Bank Working Paper Series No. 830, November.
    Paper not yet in RePEc: Add citation now

  9. Fisher M., D. Nychka and D. Zervos (1995) âFitting The Term Structure of Interest Rates With Smoothing Splinesâ, Finance and Economics Discussion Series Working Paper, No. 95-1, Federal Reserve Board, Washington, D.C.

  10. GÃrkaynak R.S., B. Sack, and J.H. Wright (2010) The TIPS Yield Curve and Inâation Compensation, American Economic Journal: Macroeconomics, 2(1): 70â92.
    Paper not yet in RePEc: Add citation now
  11. HÃrdahl P. and O. Tristani (2007) âInâation risk premia in the term structure of interest ratesâ, BIS Working Papers, No. 228, Basel.
    Paper not yet in RePEc: Add citation now

  12. Haubrich J., G. Pennacchi and P. Ritchken (2011) Estimating real and nominal term structures using Treasury Yields, Inâation, Inâation Forecasts, and Inâation swap rates, Federal Reserve Bank of Cleveland, Working Paper, March 11/07.

  13. Jarrow R. and Y. Yildirim (2003) âPricing Treasury Inâation Protected Securities and Related Derivatives using an HJM Modelâ, Journal of Financial and Quantitative Analysis, Vol. 38, No. 2, June.

  14. McCulloch J. H. and L. A. Kochin (2000) âThe Inâation Premium Implicit in the US Real and Nominal Term Structures of Interest Ratesâ, Ohio State University Economics Dept. Working Paper, No. 98-12.
    Paper not yet in RePEc: Add citation now
  15. Nelson C. R. and A. F. Siegel (1987), âParsimonious modelling of yield curvesâ, Journal of Business, Vol. 60, 473-89.
    Paper not yet in RePEc: Add citation now
  16. Sack B. (2000) âDeriving Inâation Expectations From Nominal and Inâation-Indexed Treasury Yieldsâ, FEDS Working Paper No. 2000-33.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. A noisy principal component analysis for forward rate curves. (2015). Laurini, Márcio ; Ohashi, Alberto .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:246:y:2015:i:1:p:140-153.

    Full description at Econpapers || Download paper

  2. Evaluating the robustness of UK term structure decompositions using linear regression methods. (2014). Meldrum, Andrew ; Malik, Sheheryar.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0518.

    Full description at Econpapers || Download paper

  3. New Measures of Australian Corporate Credit Spreads. (2013). Arsov, Ivailo ; Kosev, Mitch ; Brooks, Matthew .
    In: RBA Bulletin.
    RePEc:rba:rbabul:dec2013-03.

    Full description at Econpapers || Download paper

  4. The Financial Market Impact of UK Quantitative Easing. (2012). Waters, Alex ; Chadha, Jagjit ; Breedon, Francis.
    In: Studies in Economics.
    RePEc:ukc:ukcedp:1211.

    Full description at Econpapers || Download paper

  5. The yield curve as a leading indicator in economic forecasting in the U.K.. (2012). Zhang, Dalu ; Moffatt, Peter.
    In: University of East Anglia Applied and Financial Economics Working Paper Series.
    RePEc:uea:aepppr:2012_35.

    Full description at Econpapers || Download paper

  6. The Financial Market Impact of UK Quantitative Easing. (2012). Waters, Alex ; Chadha, Jagjit ; Breedon, Francis.
    In: Working Papers.
    RePEc:qmw:qmwecw:wp696.

    Full description at Econpapers || Download paper

  7. The dynamics of UK and US inflation expectations. (2012). Potter, Simon ; Koop, Gary ; Gefang, Deborah.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:11:p:3120-3133.

    Full description at Econpapers || Download paper

  8. What accounts for the fall in UK ten-year government bond yields?. (2012). Guimaraes, Rodrigo ; Guimares, Rodrigo .
    In: Bank of England Quarterly Bulletin.
    RePEc:boe:qbullt:0082.

    Full description at Econpapers || Download paper

  9. Threat of fiscal dominance?. (2012). Bank for International Settlements, .
    In: BIS Papers.
    RePEc:bis:bisbps:65.

    Full description at Econpapers || Download paper

  10. The financial market impact of UK quantitative easing. (2012). Waters, Alex ; Chadha, Jagjit S ; Breedon, Francis.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:65-16.

    Full description at Econpapers || Download paper

  11. Real term structure and inflation compensation in the euro area. (2012). Pericoli, Marcello.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_841_12.

    Full description at Econpapers || Download paper

  12. Real and nominal UK interest rates, ERM membership, and inflation targeting. (2011). Reschreiter, Andreas.
    In: Empirical Economics.
    RePEc:spr:empeco:v:40:y:2011:i:3:p:559-579.

    Full description at Econpapers || Download paper

  13. The term structure of inflation compensation in the nominal yield curve. (2011). Pasaogullari, Mehmet ; Tsonevy, Simeon .
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:1133.

    Full description at Econpapers || Download paper

  14. A Macro-Finance Approach to Exchange Rate Determination. (2010). Tsang, Kwok Ping ; Chen, Yu-chin.
    In: Working Papers.
    RePEc:udb:wpaper:uwec-2009-24-r.

    Full description at Econpapers || Download paper

  15. Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves. (2010). Sorensen, Steffen ; Joyce, Michael ; Joyce, Michael A. S., ; Lildholdt, Peter .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:2:p:281-294.

    Full description at Econpapers || Download paper

  16. Household debt, house prices and consumption in the United Kingdom: a quantitative theoretical analysis. (2010). Zampolli, Fabrizio ; Waldron, Matt.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0379.

    Full description at Econpapers || Download paper

  17. Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach. (2009). Erdemlioglu, Deniz.
    In: MPRA Paper.
    RePEc:pra:mprapa:28895.

    Full description at Econpapers || Download paper

  18. Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil. (2009). Varga, Gyorgy.
    In: MPRA Paper.
    RePEc:pra:mprapa:20832.

    Full description at Econpapers || Download paper

  19. A genetic algorithm estimation of the term structure of interest rates. (2009). Gimeno, Ricardo ; Nave, Juan M..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:6:p:2236-2250.

    Full description at Econpapers || Download paper

  20. Dynamics of the term structure of UK interest rates. (2009). Surico, Paolo ; mumtaz, haroon ; Bianchi, Francesco.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0363.

    Full description at Econpapers || Download paper

  21. Lowering the anchor: how the Bank of Englands inflation-targeting policies have shaped inflation expectations and perceptions of inflation risk. (2008). Beechey, Meredith.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2008-44.

    Full description at Econpapers || Download paper

  22. Term premiums and inflation uncertainty: empirical evidence from an international panel dataset. (2008). Wright, Jonathan.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2008-25.

    Full description at Econpapers || Download paper

  23. Uncertainty and the yield curve. (2008). Hackworth, J. F..
    In: Economics Letters.
    RePEc:eee:ecolet:v:98:y:2008:i:3:p:259-268.

    Full description at Econpapers || Download paper

  24. The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective. (2008). Stringa, Marco ; Sorensen, Steffen ; Drehmann, Mathias.
    In: Bank of England working papers.
    RePEc:boe:boeewp:339.

    Full description at Econpapers || Download paper

  25. Understanding the real rate conundrum: an application of no-arbitrage finance models to the UK real yield curve. (2008). Kaminska, Iryna ; Joyce, Michael ; Lildholdt, Peter .
    In: Bank of England working papers.
    RePEc:boe:boeewp:0358.

    Full description at Econpapers || Download paper

  26. A no-arbitrage structural vector autoregressive model of the UK yield curve. (2008). Kaminska, Iryna.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0357.

    Full description at Econpapers || Download paper

  27. Measuring monetary policy expectations from financial market instruments. (2008). Sorensen, Steffen ; Joyce, Michael ; Relleen, Jonathan .
    In: Bank of England working papers.
    RePEc:boe:boeewp:0356.

    Full description at Econpapers || Download paper

  28. Macro volatility in a model of the UK Gilt edged bond market. (2007). Spencer, Peter.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
    RePEc:mmf:mmfc06:73.

    Full description at Econpapers || Download paper

  29. Integrating credit and interest rate risk: A theoretical framework and an application to banks balance sheets. (2007). Stringa, Marco ; Sorensen, Steffen ; Drehmann, Mathias.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
    RePEc:mmf:mmfc06:151.

    Full description at Econpapers || Download paper

  30. Does the choice of interest rate data matter for the results of tests of the expectations hypothesis - some results for the UK. (2007). Nielsen, Christian Mose.
    In: Money Macro and Finance (MMF) Research Group Conference 2006.
    RePEc:mmf:mmfc06:132.

    Full description at Econpapers || Download paper

  31. The U.S. Treasury yield curve: 1961 to the present. (2007). Wright, Jonathan ; Gürkaynak, Refet ; Sack, Brian.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:54:y:2007:i:8:p:2291-2304.

    Full description at Econpapers || Download paper

  32. The ex ante real rate and inflation premium under a habit consumption model. (2007). Madureira, Leonardo.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:3:p:355-382.

    Full description at Econpapers || Download paper

  33. An affine macro-factor model of the UK yield curve. (2007). Peacock, Chris ; Lildholdt, Peter ; Panigirtzoglou, Nikolaos .
    In: Bank of England working papers.
    RePEc:boe:boeewp:322.

    Full description at Econpapers || Download paper

  34. Inflation-linked bonds from a central bank perspective. (2007). Rixtel, Adrian ; Garcia, Juan Angel.
    In: Occasional Papers.
    RePEc:bde:opaper:0705.

    Full description at Econpapers || Download paper

  35. The effect of parallel OTC-DVP bond market introduction on yield curve volatility. (2006). Grum, Andraž.
    In: MPRA Paper.
    RePEc:pra:mprapa:4950.

    Full description at Econpapers || Download paper

  36. Razvitost slovenskega trga dolžniškega kapitala in ocenitev krivulje donosnosti. (2006). Grum, Andraž.
    In: MPRA Paper.
    RePEc:pra:mprapa:4876.

    Full description at Econpapers || Download paper

  37. Forecasting interest rate swap spreads using domestic and international risk factors: Evidence from linear and non-linear models.. (2006). Panagiotidis, Theodore ; Milas, Costas ; Lekkos, Ilias .
    In: Discussion Paper Series.
    RePEc:lbo:lbowps:2006_6.

    Full description at Econpapers || Download paper

  38. The U.S. Treasury yield curve: 1961 to the present. (2006). Wright, Jonathan ; Gürkaynak, Refet ; Sack, Brian.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2006-28.

    Full description at Econpapers || Download paper

  39. Affine term structure models for the foreign exchange risk premium. (2006). Benati, Luca.
    In: Bank of England working papers.
    RePEc:boe:boeewp:291.

    Full description at Econpapers || Download paper

  40. The information content of the term structure of interest rates about future inflation – an illustration of the importance of accounting for a time-varying real interest rate and inflation risk prem. (2005). Nielsen, Christian Mose.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:86.

    Full description at Econpapers || Download paper

  41. On the predictability of common risk factors in the US and UK interest rate swap markets: Evidence from non-linear and linear models.. (2005). Panagiotidis, Theodore ; Milas, Costas ; Lekkos, Ilias .
    In: Discussion Paper Series.
    RePEc:lbo:lbowps:2005_9.

    Full description at Econpapers || Download paper

  42. Strategic trading behavior and price distortion in a manipulated market: Anatomy of a squeeze. (2004). Merrick, John J. ; Yadav, Pradeep K. ; Naik, Narayan Y..
    In: CFR Working Papers.
    RePEc:zbw:cfrwps:0407.

    Full description at Econpapers || Download paper

  43. Estimating time-varying risk premia in UK long-term government bonds. (2004). Steeley, James.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:14:y:2004:i:5:p:367-373.

    Full description at Econpapers || Download paper

  44. Interest Rate Term Structure in Latvia in the Monetary Policy Context. (2003). Zubkova, Jelena .
    In: Working Papers.
    RePEc:ltv:wpaper:200303.

    Full description at Econpapers || Download paper

  45. The Relationship between Real Interest Rates and Inflation. (2002). Brzoza-Brzezina, Michal.
    In: NBP Working Papers.
    RePEc:nbp:nbpmis:23.

    Full description at Econpapers || Download paper

  46. What central banks can learn about default risk from credit markets. (2002). Marsh, Ian .
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:12-15.

    Full description at Econpapers || Download paper

  47. Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada. (2002). Bolder, David ; Gusba, Scott.
    In: Staff Working Papers.
    RePEc:bca:bocawp:02-29.

    Full description at Econpapers || Download paper

  48. The changing shape of fixed income markets: a collection of studies by central bank economists. (2001). Bank for International Settlements, .
    In: BIS Papers.
    RePEc:bis:bisbps:05.

    Full description at Econpapers || Download paper

  49. Government bond market valuations in an era of dwindling supply. (2001). Scholtes, Cedric ; Cooper, Neil .
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:05-05.

    Full description at Econpapers || Download paper

  50. Estimating Inflation Expectations using French Government Inflation-Indexed Bonds. (2001). Rio, Ana Del ; Blanco, Roberto ; Alonso, Francisco ; del Rio, Ana.
    In: Working Papers.
    RePEc:bde:wpaper:0111.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-12 21:52:49 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.