Home About Latest Browse RSS Advanced Search

Federal Reserve Bank of Cleveland
Working Papers (Old Series)
The term structure of inflation compensation in the nominal yield curve
Mehmet Pasaogullari
Simeon Tsonevy
Abstract

We propose a DSGE model with regime switching in the central bank’s inflation target to explain inflation compensation in the UK. Taking advantage of the well-documented change in UK monetary policy to adopt inflation targeting, we estimate our model using nominal and inflation-linked Treasury bond data from the UK from 1985 to 2007. We find that this model can account for the term structure of inflation compensation in the nominal yield curve by generating regime-dependent conditional expectations of future inflation.


Download Full text
Cite this item
Mehmet Pasaogullari & Simeon Tsonevy, The term structure of inflation compensation in the nominal yield curve, Federal Reserve Bank of Cleveland, Working Papers (Old Series) 1133, 2011.
More from this series
JEL Classification:
Subject headings:
Keywords: Inflation targeting ; Monetary policy - Great Britain
For corrections, contact 4D Library ()
Fed-in-Print is the central catalog of publications within the Federal Reserve System. It is managed and hosted by the Economic Research Division, Federal Reserve Bank of St. Louis.

Privacy Legal