The term structure of inflation expectations

We use information in the term structure of survey-based forecasts of inflation to estimate a factor hidden in the nominal yield curve. We construct a model that accommodates forecasts over multiple horizons from multiple surveys and Treasury real and nominal yields by allowing for differences betwe...

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Veröffentlicht in:	Journal of financial economics 2012-11, Vol.106 (2), p.367-394
Hauptverfasser:	Chernov, Mikhail, Mueller, Philippe
Format:	Artikel
Sprache:	eng
Schlagworte:	Affine term structure models Economic forecasting Economic forecasts Expectation Expectations Hidden factors Inflation Macro factors Macroeconomics Risk Studies Survey forecasts Surveys Treasuries Yield
Online-Zugang:	Volltext
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