E-mail alert  |  Contact  
Search:       Go  
Background  |   Sponsoring institutions  |   Editorial board   |   Advisory board   |   Associate editors
Call for papers  |   Submission guidelines  |   Editorial process
Current issue  |   Past issues  |  
June 2012 issue
List of authors
 
Stroebel, Taylor
Agnello, Cimadomo
Roeger, Herz
Finlay, Wende
Kubelec, S
Brave, Butters
Nelson
IJCB Home    Read the journal   Past issue
Past issues
2017
 
December
September
June
March
February
2016
 
December
September
June
March
2015
 
December
September
June
March
January
2014
 
December
September
June
March
2013
 
December
September
June
March
January
2012
 
December
September
June
March
January
2011
 
December
September
June
March
2010
 
December
September
June
March
2009
 
December
September
June
March
2008
 
December
September
June
March
2007
 
December
September
June
March
2006
 
December
September
June
March
2005
 
December
September
May

Estimating Inflation Expectations with a Limited Number of Inflation-Indexed Bonds

by Richard Finlay and Sebastian Wende
Reserve Bank of Australia

Abstract

We develop a novel technique to estimate inflation expectations and inflation risk premia when only a limited number of inflation-indexed bonds are available. The method involves pricing coupon-bearing inflation-indexed bonds directly in terms of an affine term structure model, and avoids the usual requirement of estimating zero-coupon real yield curves. We estimate the model using a non-linear Kalman filter and apply it to Australia. The results suggest that long-term inflation expectations in Australia are well anchored within the Reserve Bank of Australias inflation target range of 2 to 3 percent, and that inflation expectations are less volatile than inflation risk premia.

JEL Codes: E31, E43, G12.

 
Full article (PDF, 32 pages 505 kb)