Short-Term Interest Rate Estimation by Filtering in a Model Linking Inflation, the Central Bank and Short-Term Interest Rates

Short-Term Interest Rate Estimation by Filtering in a Model Linking Inflation, the Central Bank and Short-Term Interest Rates

We consider the model of Antonacci, Costantini, D’Ippoliti, Papi (arXiv:2010.05462 [q-fin.MF], 2020), which describes the joint evolution of inflation, the central bank interest rate, and the short-term interest rate. In the case when the diffusion coefficient does not depend on the central bank int...

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Bibliographic Details
Main Authors: Flavia Antonacci, Cristina Costantini, Marco Papi
Format: Article
Language:English
Published: MDPI AG 2021-05-01
Series:Mathematics
Subjects:
inflation
short-term interest rate
Kalman filter
calibration
Online Access:https://www.mdpi.com/2227-7390/9/10/1152

Internet

https://www.mdpi.com/2227-7390/9/10/1152

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