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Project

Estimating a real term structure (ERTS).

The objective of the project is to develop an estimation method voor the real term structure• to obtain an estimate of the zero-coupon real interest rates• build a real yield curve across the maturity spectrum• to compare it with the nominal term structure and derive the inflation compensation -often defined as the break-even inflation rate - requested by market participants to hold index-linked bonds, a proxy of their expectations of inflation.• this estimation procedure should be easy to update (on a monthly basis as a minimum)
Date:1 Apr 2013 →  15 Oct 2013
Keywords:INFLATION, FINANCIAL ANALYSE, REAL TERM STRUCTURE
Disciplines:Applied economics
Project type:Collaboration project