The statistical impact of inflation on interest rates

DOI10.1080/03610926.2015.1130842MaRDI QIDQ5349201zbMATH OpenOpenAlexFDO

Authors A. E. Monsalve-Cobis, Winfried Stute, Wenceslao González-Manteiga

Publication date 23 August 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2015.1130842

zbMATH Keywords

Ornstein-Uhlenbeck processinflationmodel fittinginterest rate

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Recommendations

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• Performance of inflation targeting based on constant interest rate projections
• THE REAL-INTEREST-RATE GAP AS AN INFLATION INDICATOR
• An effect of inflation illustrated by introducing a regression technique
• Rational expectations, inflation and the nominal interest rate

Cited in

(1)

• Interest rate dynamics and commodity prices

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