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dc.contributor.authorAdrian, Tobiasen_US
dc.contributor.authorWu, Haoen_US
dc.date.accessioned2010-05-05en_US
dc.date.accessioned2012-08-17T14:35:44Z-
dc.date.available2012-08-17T14:35:44Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/60860-
dc.description.abstractWe present estimates of the term structure of inflation expectations, derived from an affine model of real and nominal yield curves. The model features stochastic covariation of inflation with the real pricing kernel, enabling us to extract a time-varying inflation risk premium. We fit the model not only to yields, but also to the yields' variance-covariance matrix, thus increasing identification power. We find that model-implied inflation expectations can differ substantially from break-even inflation rates when market volatility is high. Our model's ability to be updated weekly makes it suitable for real-time monetary policy analysis.en_US
dc.language.isoengen_US
dc.publisherFederal Reserve Bank of New York New York, NYen_US
dc.relation.ispartofseriesStaff Report, Federal Reserve Bank of New York 362en_US
dc.subject.jelG10en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordAffine term structure modelsen_US
dc.subject.keywordinflation expectationsen_US
dc.subject.keywordstochastic volatilityen_US
dc.subject.keywordasset pricingen_US
dc.subject.keywordmonetary policyen_US
dc.subject.stwInflationserwartungen_US
dc.subject.stwZinsstrukturen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwVolatilit├Ąten_US
dc.subject.stwCapital Asset Pricing Modelen_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwTheorieen_US
dc.titleThe term structure of inflation expectationsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn593786556en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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