کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5090262 | 1375624 | 2010 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves](/preview/png/5090262.png)
چکیده انگلیسی
This paper analyses the UK interest rate term structure over the period since October 1992, when the United Kingdom adopted an explicit inflation target, using an affine term structure model estimated using both government bond yields and survey data. The model imposes no-arbitrage restrictions across nominal and real yields, which enables interest rates to be decomposed into expected real policy rates, expected inflation, real term premia and inflation risk premia. The model is used to shed light on major developments over the period, including the impact of Bank of England independence and the low real bond yield 'conundrum'.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 34, Issue 2, February 2010, Pages 281-294
Journal: Journal of Banking & Finance - Volume 34, Issue 2, February 2010, Pages 281-294
نویسندگان
Michael A.S. Joyce, Peter Lildholdt, Steffen Sorensen,