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2015-11-02Buch DOI: 10.18452/4606
Estimating inflation expectation co-movement across countries
dc.contributor.authorChen, Shi
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorWang, Weining
dc.date.accessioned2017-06-16T01:20:21Z
dc.date.available2017-06-16T01:20:21Z
dc.date.created2017-01-31
dc.date.issued2015-11-02
dc.date.submitted2015-11-02
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5258
dc.description.abstractInflation expectation is an important indicator for policy makers and financial investors. To capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage-free term structure model across different countries. We first estimate inflation expectation by modeling the nominal and the inflation-indexed bond yields jointly for each country. The joint dynamic model for inflation expectation is a cross sectional state space model combined with a GeoCopula model, which accounts for the default risk and the non Gaussian dependency structure over countries. We discover that the extracted common trend for inflation expectation is an important driver for each country of interest. Moreover, the model extracts informative estimates of inflation expectations and will provide good implications for monetary policies.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectinflation expectationeng
dc.subjectarbitrage freeeng
dc.subjectyield curve modellingeng
dc.subjectinflation riskeng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleEstimating inflation expectation co-movement across countries
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100243137
dc.identifier.doihttp://dx.doi.org/10.18452/4606
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages45
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2015
local.edoc.container-issue49
local.edoc.container-year2015
local.edoc.container-erstkatid2195055-6

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