The Term Structure of Real Rates and Expected Inflation
By Andrew Ang, Geert Bekaert, Min Wei. 2008
552 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/02de708cb078a4ca34408bdc3f8613d7175abb0f
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Allan G. Timmermann
- Andrew Ang
- Geert Bekaert
- Kenneth J. Singleton
- Qiang Dai
- Massimo Guidolin
- Anh Le
- Eric C. Engstrom
In Finance
- Geert Bekaert
- Andrew Ang
- Allan G. Timmermann
- Kenneth J. Singleton
- Anh Le
- Qiang Dai
- Massimo Guidolin
- Eric C. Engstrom
Citations in the corpus
- The Wealth-Consumption Ratio (2008, unknown): “As in Ang, Bekaert, and Wei (2007), the long-term nominal risk premium on a 5-year bond is the sum of a real rate risk premium (defined the same way for real bonds as for nominal bonds) and the inflation risk premium.”
- What does the yield curve tell us about GDP growth (2004, unknown): “While recent term structure models allow for regime changes, bond prices can only be computed in closed form under restrictive assumptions (see Ang and Bekaert, 2003; Dai, Singleton, and Yang, 2003).”
- Stock and bond returns with Moody Investors (2010, background): “Nevertheless, the variation of the term spread accounted for by inflation is almost identical to variation estimated by Ang et al. (2008), whereas the contribution of inflation to the short rate variance seems slightly too large.”
- Finance and Economics Discussion Series Divisions of Research & Statistics and Monetary Affairs Federal Reserve Board, Washington, D.C. The U.S. Treasury Yield Curve: 1961 to the Present (2006, unknown): “Other papers that have constructed real term structure models from inflation and nominal yields data include Ang and Bekaert (2005).”
- Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds (2013, unknown): “Regime-switching models have been proposed as an alternative way to reconcile persistent uctuations with stationary long-run behavior of interest rates (Garcia and Perron 1996, Gray 1996, Bansal and Zhou 2002, Ang, Bekaert, and Wei 2008).”