A Simulation Model for Nominal, Real Interest Rates, Inflation & Inflation Expectations
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Document ID: 1997-52 (previously Report 29)
Published on: 1st November 1997
This article has been archived. This report provides a description of a stochastic model which we have used to simulate joint profiles for inflation, inflation expectations, real and nominal interest rate term structures. By way of background we discuss alternative approaches to yield curve modelling which have been developed to meet different objectives - for the purposes of economic forecasting and for the valuation and trading of interest-rate sensitive derivatives.
