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

DOI10.1016/J.JECONOM.2021.10.007OpenAlexW3212399034MaRDI QIDQ2106372FDOQ2106372

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

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

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