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dc.contributor.authorAdrian, Tobiasen
dc.contributor.authorWu, Haoen
dc.date.accessioned2010-05-05-
dc.date.accessioned2012-08-17T14:35:44Z-
dc.date.available2012-08-17T14:35:44Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aFederal Reserve Bank of New York |cNew York, NYen
dc.relation.ispartofseries|aStaff Report |x362en
dc.subject.jelG10en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordAffine term structure modelsen
dc.subject.keywordinflation expectationsen
dc.subject.keywordstochastic volatilityen
dc.subject.keywordasset pricingen
dc.subject.keywordmonetary policyen
dc.subject.stwInflationserwartungen
dc.subject.stwZinsstrukturen
dc.subject.stwKapitalertragen
dc.subject.stwVolatilitäten
dc.subject.stwCapital Asset Pricing Modelen
dc.subject.stwGeldpolitiken
dc.subject.stwTheorieen
dc.titleThe term structure of inflation expectations-
dc.typeWorking Paperen
dc.identifier.ppn593786556en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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