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.Government securities ; Inflation (Finance) ; Interest rates ; Indexation (Economics)

Alessandro Penati

George Pennacchi

Silverio Foresi

English

Research Papers in Economics

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http://www.clevelandfed.org/research/workpaper/1997/wp9701.pdf

Estimating the cost of U.S. indexed bonds

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Research Papers in Economics