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【IMI Working Paper No. 1803 [EN]】What do the Prices of UK Inflation-linked Securities Say on Inflation Expectations, Risk Premia and Liquidity Risks

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Keywords】 Affine arbitrage-free dynamic term structure model, Breakeven inflation, Inflation expectations, Risk premia, Funding liquidity, Survey expectations

Authors】 Iryna Kaminska and Jon Relleen , Bank of England.

                         Zhuoshi Liu, Research Fellow of Renmin University of China International Monetary                                   Institute; Ping An Annuity Insurance Company.

                        Elisabetta Vangelista, European Stability Mechanism.

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