Estimating the cost of U.S. indexed bonds

Silverio Foresi, Alessandro Penati and George Pennacchi

No 9701, Working Papers (Old Series) from Federal Reserve Bank of Cleveland

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.

Keywords: Government securities; Inflation (Finance); Interest rates; Indexation (Economics) (search for similar items in EconPapers)
Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedcwp:9701

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