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The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation

  • Published:2021-05 Issue: Volume:80 Page:785-796
  • ISSN:1062-9769
  • Container-title:The Quarterly Review of Economics and Finance
  • language:en
  • Short-container-title:The Quarterly Review of Economics and Finance

Author:

Argyropoulos Efthymios,Tzavalis Elias

Funder

Research Funding Program Large Shocks-Aristeia II-5413

European Union

Greek State Scholarships Foundation

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference62 articles.

1. Decomposing real and nominal yield curves;Abrahams;Journal of Monetary Economics,2016

2. Common factors and local factors: Implications for the term structure and exchange rate;Ahn;Journal of Financial and Quantitative Analysis,2004

3. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables;Ang;Journal of Monetary Economics,2003

4. Nominal bonds, real bonds, and equity;Ang,2012

5. The term structure of real rates and inflation expectation;Ang;Journal of Finance,2008

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1. Inflation and Main Determining Factors in Non-Euro CEE Countries during the Period 2020-2022. An Empirical Analysis;ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH;2023-09-22

2. Guest Editorial: 5th AMEF;The Quarterly Review of Economics and Finance;2021-05

3. The Relationship between Yield Curve and Economic Activity: An Analysis of G7 Countries;Journal of Risk and Financial Management;2021-02-02

4. Can country-specific interest rate factors explain the forward premium anomaly?;Journal of Economics and Finance;2020-07-05

5. Inflation cycle synchronization in ASEAN countries;Physica A: Statistical Mechanics and its Applications;2020-05
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