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.
Keywords: Government securities; Inflation (Finance); Interest rates; Indexation (Economics);
Access Documents
File(s):
https://doi.org/10.26509/frbc-wp-199701
Description: Persistent link
Bibliographic Information
Provider: Federal Reserve Bank of Cleveland
Part of Series: Working Papers (Old Series)
Publication Date: 1997
Number: 9701