Essays about: "Inflation linked yields"

Found 2 essays containing the words Inflation linked yields.

1. 1. Inflation Risk Premium in the Swedish Bond Market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Viktor Berggren; Domantas Lubys; [2016]
   Keywords : inflation risk premium; liquidity risk premium; expected inflation; inflation-linked bonds;

   Abstract : The purpose of this study is to investigate the dynamics of the inflation risk premium in the Swedish bond market using nominal and inflation-linked bond yields. We apply a no-arbitrage method extracting real yields from nominal and inflation-linked yields taking the three-month indexation lag inherent in Swedish bond yields into account. READ MORE

3. 2. Estimation of a Liquidity Premium for Swedish Inflation Linked Bonds

   University essay from KTH/Matematisk statistik

   Author : Magnus Bergroth; Anders Carlsson; [2014]
   Keywords : Inflation linked yields; State space model; Kalman filter; Maximum likelihood estimation;

   Abstract : It is well known that the inflation linked breakeven inflation, defined as the difference between a nominal yield and an inflation linked yield, sometimes is used as an approximation of the market’s inflation expectation. D’Amico et al. (2009, [5]) show that this is a poor approximation for the US market. READ MORE