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Federal Reserve Bank of Cleveland
Working Papers (Old Series)
Estimating the cost of U.S. indexed bonds
Silverio Foresi
Alessandro Penati
George Pennacchi
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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Silverio Foresi & Alessandro Penati & George Pennacchi, Estimating the cost of U.S. indexed bonds, Federal Reserve Bank of Cleveland, Working Papers (Old Series) 9701, 1997.
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Keywords: Government securities ; Inflation (Finance) ; Interest rates ; Indexation (Economics)
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