Inflation risk premia and the expectations hypothesis

By Andrea Buraschi, Alexei Jiltsov. 2005

233 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/18af40e11268a8cf0135967c35f661cdcb78685a

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Citations in the corpus

Appendix: Monetary Policy Drivers of Bond and Equity Risks (2020, unknown): “Endogenous responses of bond risk premia amplify these effects of monetary policy on bond risks.”
No-arbitrage macroeconomic determinants of the yield curve (2010, unknown): “3This work includes Ang, Dong, and Piazzesi (2004), Bekaert, Cho, and Moreno (2003), Buraschi and Jiltsov (2005), Diebold, Rudebusch, and Arouba (2005), Gallmeyer, Hollifield, and Zin (2005), Hördahl, Tristani, and Vestin (2005), Law (2004), Rudebusch and Wu (2005), Wachter (2005), among others.”
Habit Formation and Macroeconomic Models of the Term Structure of Interest Rates (2007, methodology): “We refer to Buraschi and Jiltsov (2005) for a discussion of a monetary model of the term structure with an explicit two-factor Taylor rule.”
Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps (2011, unknown): “Buraschi and Jiltsov (2005) estimate a 10-year inflation risk premium averaging 70 basis points and ranging from 20 to 140 basis points over their 1960 - 2000 sample period. Studies that use TIPS yield data generally report lower inflation risk premia. Chen, Liu, and Cheng (2010) find a 10-year infl”
Resolution of Policy Uncertainty and Sudden Declines in Volatility (2017, unknown): “These conditions are similar to those in Aı̈t-Sahalia and Kimmel (2010) when jumps are absent and the entire model is affine.”
Macroeconomics and the Term Structure (2012, background): “For example, Bekaert, Cho and Moreno (2010) combine a forward looking new-Keynesian model with a stochastic discount factor derived from maximizing utility in equation (19).”
The Term Structure of Inflation Expectations (2012, result): “24This number is consistent with Buraschi and Jiltsov (2005) and is slightly higher than that reported by Ang, Bekaert, and Wei (2004).”
Public Pension Promises: How Big are They and What are They Worth? (2011, unknown): “Buraschi and Jiltsov (2005) estimate an average ten-year inflation risk premium in Treasury bonds of 70 basis points over the period 1965-2005, ranging from 20bp to 140bp over the business cycle.”