Anchoring the yield curve using survey expectations

Author:

Altavilla Carlo1,Giacomini Raffaella2,Ragusa Giuseppe3

Affiliation:

1. European Central Bank; Frankfurt Germany

2. Department of Economics; University College London; London UK

3. Department of Economics and Finance; Luiss University; Rome Italy

Publisher

Wiley

Subject

Economics and Econometrics,Social Sciences (miscellaneous)

Reference37 articles.

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

2. The term structure of inflation expectations;Chernov;Journal of Financial Economics,2012

3. Estimating shadow-rate term structure models with near-zero yields;Christensen;Journal of Financial Econometrics,2015

4. Expectations, bond yields, and monetary policy;Chun;Review of Financial Studies,2011

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