The Term Structure of Inflation Expectations

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Trend and Cycle in Bond Premia (2009, unknown): “…regressions Fama & Bliss 1987, Campbell & Shiller 1991, etc • statistical analysis of interest rate survey data Froot 1989, Kim & Orphanides 2007, Chernov & Mueller 2008 • role of survey expectations in other markets Frankel & Froot 1989, Gourinchas & Tornell 2004, Bacchetta et al. 2008 •…”
A New Perspective on Gaussian Dynamic Term Structure Models (2011, unknown): “1 Recentstudies that explore the forecasting performance of GDTSMs includeDuffee(2002),Ang and Piazzesi (2003),Christensen, Diebold, and Rudebusch (2007),Chernov and Mueller (2008), andJardet, Monfort, and Pegoraro(2009), among many others.”
Sources of Entropy in Representative Agent Models (2011, methodology): “We base these properties on entropy, a dispersion concept that is particularly convenient in the loglinear environments common in the asset pricing literature.”
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013, unknown): “The declines roughly coincide with the Federal Reserve’s first two quantitative easing programs (QE1 and QE2), a stated objective of which was to lower forward term premiums.”
Decomposing real and nominal yield curves (2016, unknown): “Similar to an earlier paper by Adrian and Wu (2009), Haubrich, Pennacchi, and Ritchken (2012) allow for heteroskedasticity explicitly by estimating a GARCH model for the yield processes.”