Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230829
Authors: 
Chen, Shi
Härdle, Wolfgang Karl
Wang, Weining
Year of Publication: 
2020
Series/Report no.: 
IRTG 1792 Discussion Paper No. 2020-023
Abstract: 
Inflation expectation (IE) is often considered to be an important determinant of actual inflation in modern economic theory, we are interested in investigating the main risk factors that determine its dynamics. We fiirst apply a joint arbitrage-free term structure model across different European countries to obtain estimate for country-specific IE. Then we use the two-component and three-component models to capture the main risk factors. We discover that the extracted common trend for IE is an important driver for each country of interest. Moreover a spatial-temporal copula model is tted to account for the non-Gaussian dependency across countries. This paper aims to extract informative estimates for IE and provide good implications for monetary policies.
Subjects: 
in ation expectation
joint yield-curve modeling
factor model
common trend
spatial-temporal copulas
JEL: 
C02
C13
C38
E31
E43
Document Type: 
Working Paper

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