Pricing kernels, inflation, and the term structure of interest rates

Ben Craig and Joseph Haubrich

No 308, Working Papers (Old Series) from Federal Reserve Bank of Cleveland

Abstract: We estimate a discrete-time multivariate pricing kernel for the term structure of interest rates, using both yields and inflation rates. This gives a separate estimate of the real kernel and the nominal kernel, taking into account a relatively sophisticated dynamical structure and mutual interaction between the real and nominal side of the economy. Along with obtaining an estimate of the real term structure, we use the estimates to obtain a new perspective on how real and nominal influences interact to produce the observed term structure.

Keywords: Inflation (Finance); Interest rates (search for similar items in EconPapers)
Date: 2003
New Economics Papers: this item is included in nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedcwp:0308

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DOI: 10.26509/frbc-wp-200308

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