Results 1 
3 of
3
Core and “crust”: Consumer prices and the term structure of interest rates. Working Paper, Federal Reserve Bank of Chicago
, 2012
"... We estimate a model for nominal and real term structures of interest rates that includes dynamics for the three main components of total inflation: core, food, and energy. These dynamics combine together to produce a measure of expected total inflation that investors use to price nominal Treasuries. ..."
Abstract

Cited by 3 (0 self)
 Add to MetaCart
We estimate a model for nominal and real term structures of interest rates that includes dynamics for the three main components of total inflation: core, food, and energy. These dynamics combine together to produce a measure of expected total inflation that investors use to price nominal Treasuries. This framework captures different frequencies in inflation fluctuations: shocks to core are more persistent and less volatile than shocks to food and, especially, energy (the ‘crust’). The model fits yields and inflation data well in sample, and produces inflation forecasts that outperform several benchmarks out of sample. A common structure of latent factors explains most of the variance of the forecasting error for core inflation and bond yields. This evidence suggests that interest rates contain useful predictive content for inflation. Moreover, we estimate real interest rates, as well as inflation and real rate risk premia, that are consistent with related marketbased measures. We are grateful to Larry Christiano, Charlie Evans, Spence Krane, Alejandro Justiniano, Michael McCracken,
Dynamic interactions between interestrate and credit risk: Theory and evidence on the credit default swap term structure. Review of Finance 17:403–41
, 2013
"... Abstract. This paper examines the interaction between default risk and interestrate risk in determining the term structure of credit default swap spreads at different industry sectors and creditrating classes. The paper starts with a parsimonious threefactor interestrate dynamic term structure ..."
Abstract

Cited by 3 (0 self)
 Add to MetaCart
(Show Context)
Abstract. This paper examines the interaction between default risk and interestrate risk in determining the term structure of credit default swap spreads at different industry sectors and creditrating classes. The paper starts with a parsimonious threefactor interestrate dynamic term structure and projects the credit spread at each industry sector and rating class to these interestrate factors while also allowing the projection residual dynamics to depend on the level of the interestrate factors. Estimation shows that credit risk exhibits intricate dynamic interactions with the interestrate factors.
Longterm and blowup behaviors of exponential moments in multidimensional affine diffusions
 Stochastic Processes and their Applications
, 2012
"... ar ..."