Archive for the ‘Modeling/Forecasting’ Category

Disagreement about Inflation Expectations (2003)

N. Gregory Mankiw & Ricardo Reis & Justin Wolfers, “Disagreement about Inflation Expectations,”
Harvard Institute of Economic Research Working Papers 2011, Harvard – Institute of Economic Research, 2003.

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Inflation Dynamics When Inflation Is Near Zero (2012)

Jeffrey C. Fuhrer & Giovanni P. Olivei & Geoffrey M. B. Tootell, “Inflation Dynamics When Inflation Is Near Zero,” Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44, pages 83-122, 02, 2012.

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Uncertainty over Models and Data: The Rise and Fall of American Inflation (2012)

Seth Pruitt, “Uncertainty Over Models and Data: The Rise and Fall of American Inflation,” Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44, pages 341-365, 03, 2012.

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Effective Use of Survey Information in Estimating the Evolution of Expected Inflation (2012)

Sharon Kozicki & P. A. Tinsley, “Effective Use of Survey Information in Estimating the Evolution of Expected Inflation,” Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 145-169, 02, 2012.

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TIPS: Taking Inflation Premium Seriously (2005)

Min Wei & Stefania D’Amico & Don H. Kim, “TIPS: Taking Inflation Premium Seriously,” Computing in Economics and Finance 2005 363, Society for Computational Economics, 2005.

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Forecasting Inflation (2011)

Jon Faust and Jonathan H. Wright, “Forecasting Inflation,” Department of Economics, Johns Hopkins University, 2011.

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Decomposing the declining volatility of long-term inflation expectations (2011)

Clark, Todd E. & Davig, Troy, 2011. “Decomposing the declining volatility of long-term inflation expectations,” Journal of Economic Dynamics and Control, Elsevier, vol. 35(7), pages 981-999, July.

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Inflation-Gap Persistence in the US (2010)

Cogley, Timothy, Giorgio E. Primiceri, and Thomas J. Sargent. 2010. “Inflation-Gap Persistence in the US.” American Economic Journal: Macroeconomics, 2(1): 43–69.

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Convexity adjustments in inflation-linked derivatives (2008)

Dorje Brody, John Crosby and Hongyun Li. Asia Risk, November 2008.

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Pricing Treasury Inflation Protected Securities and Related Derivatives using an HJM Model (2003)

Jarrow, Robert and Yildirim, Yildiray. Journal of Financial and Quantitative Analysis, vol 38, no. 2, June 2003.

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