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dc.contributor.authorGimeno, Ricardo
dc.contributor.authorMarqués, José Manuel
dc.date.accessioned2019-08-10T17:54:59Z
dc.date.available2019-08-10T17:54:59Z
dc.date.issued2009-05-26
dc.identifier.issnISSN: 0213-2710 (en papel)
dc.identifier.issnISSN: 1579-8666 (en línea)
dc.identifier.urihttps://repositorio.bde.es/handle/123456789/6984
dc.description.abstractIn this paper we propose an affine model that uses as observed factors the Nelson and Siegel (NS) components summarising the term structure of interest rates. By doing so, we are able to reformulate the Diebold and Li (2006) approach to forecast the yield curve in a way that allows us to incorporate a non-arbitrage opportunities condition and risk aversion into the model. These conditions seem to improve the forecasting ability of the term structure components and provide us with an estimation of the risk premia. Our approach is somewhat equivalent to the recent contribution of Christiensen, Diebold and Rudebusch (2008). However, not only does it seem to be more intuitive and far easier to estimate, it also improves that model in terms of fitting and forecasting properties. Moreover, with this framework it is possible to incorporate directly the inflation rate as an additional factor without reducing the forecasting ability of the model. The augmented model produces an estimation of market expectations about inflation free of liquidity, counterparty and term premia. We provide a comparison of the properties of this indicator with others usually employed to proxy the inflation expectations, such as the break-even rate, inflation swaps and professional surveys
dc.format.extent34 p. : tab., gráf.
dc.language.isoen
dc.publisherBanco de España
dc.relation.ispartofDocumentos de Trabajo / Banco de España, 0906
dc.rightsReconocimiento-NoComercial-CompartirIgual 4.0 Internacional (CC BY-NC-SA 4.0)
dc.rightsIn Copyright - Non Commercial Use Permitted
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/deed.es_ES
dc.rights.urihttp://rightsstatements.org/vocab/InC-NC/1.0/
dc.subjectInterest rate forecast
dc.subjectInflation expectations
dc.subjectAffine model
dc.subjectDiebold and Li
dc.titleExtraction of financial market expectations about inflation and interest rates from a liquid market
dc.typeDocumento de trabajo
dc.identifier.bdebib000226274
dc.identifier.bdepubDTRA-200906-eng
dc.subject.bdeTeoría monetaría
dc.subject.bdeModelización econométrica
dc.subject.bdeFluctuaciones y ciclos económicos
dc.publisher.bdeMadrid : Banco de España, 2009
dc.subject.jelG12
dc.subject.jelE43
dc.subject.jelE44
dc.subject.jelC53
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