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Assessment of inflation expectations on the basis of data on prices of financial assets | 24-09-2012
Project Dates: May — August 2012

The project was implemented for the Central Bank of the Russian Federation.

Project Goal:

Assessment of inflation expectations of the financial markets on the basis of the prices of financial assets — government bonds of the Russian Federation.

Projects Objectives were:

  • building up adequate historical database for the bond yield curve, defined as the correlation between the yield to maturity and term to maturity over time;

  • selection and justification for the relevant econometric method of assessment with federal loan bonds using from those being discussed in the academic and applied literature to estimate inflation expectations on the basis of data on the term structure of interest rates.
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