Monetary reforms and inflation expectations in Japan: evidence from inflation-indexed bonds

DOI10.1016/J.JECONOM.2021.10.007MaRDI QIDQ2106372zbMATH OpenOpenAlexFDO

Authors Jens H. E. Christensen, Mark M. Spiegel

Publication date 14 December 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2021.10.007

zbMATH Keywords

unconventional monetary policynegative interest rateaffine arbitrage-free term structure modeldeflation protectiondeflation risk

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• Dynamic Factor Models
• Term structure analysis with big data: one-step estimation using bond prices
• Term structure models and the zero bound: an empirical investigation of Japanese yields
• The affine arbitrage-free class of Nelson-Siegel term structure models
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

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