1. Values for expected inflation are found in two ways, (i) Using the University of Michigan inflation monthly expectations survey (1978-2014) (ii) Using an ARMA(1,1) model on quarterly inflation data and forecasting four quarters ahead (1970-2014);Figure 1: Wavelet Coherency for US Unexpected Inflation and Gold Wavelet coherency between changes in expected and unexpected inflation and gold returns are shown,2003
2. The yield curve and the macro-economy across time and frequencies;L Aguiar-Conraria;Journal of Economic Dynamics and Control,2012
3. The continuous wavelet transform: Moving beyond uni-and bivariate analysis;L Aguiar-Conraria;Journal of Economic Surveys,2014
4. Stock prices and inflation: New evidence from the Pacific-Basin countries;O Al-Khazali;Review of Quantitative Finance and Accounting,2004
5. Do macro variables, asset markets, or surveys forecast inflation better;A Ang;Journal of Monetary Economics,2007