Working Paper
Estimating the cost of U.S. indexed bonds
Abstract: A presentation of an equilibrium bond-pricing model driven by two stochastic factors: the real interest rate and the expected rate of inflation. The models parameters are estimated using a maximum-likelihood technique based on a Kalman filter.
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https://doi.org/10.26509/frbc-wp-199701
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https://www.clevelandfed.org/-/media/project/clevelandfedtenant/clevelandfedsite/publications/working-papers/1997/wp-9701-estimating-the-cost-of-us-indexed-bonds-pdf.pdf
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Bibliographic Information
Provider: Federal Reserve Bank of Cleveland
Part of Series: Working Papers (Old Series)
Publication Date: 1997
Number: 9701