RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia Equation

E( π Δ,iΔ ×exp( y i ×i ) )=E( exp( y i ×i )× π Δ,0 × π 0,iΔ ) = π Δ,0 ×exp( y i ×i+ y iΔ ×( iΔ ) )E( exp( y iΔ ×( iΔ ) )× π 0,iΔ ) = π Δ,0 ×exp( y i ×i+ y iΔ ×( iΔ ) )exp( r iΔ * ×( iΔ ) ) MathType@MTEF@5@5@+=feaagCart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLnhiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=xfr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGceaabbeaatuuDJXwAK1uy0HMmaeHbfv3ySLgzG0uy0HgiuD3BaGqbaiab=ri8fnaabmaabaGaeqiWda3aaSbaaSqaaiabgkHiTiaabs5acaGGSaGaamyAaiabgkHiTiaabs5aaeqaaOGaey41aqRaaeyzaiaabIhacaqGWbWaaeWaaeaacqGHsislcaWG5bWaaSbaaSqaaiaadMgaaeqaaOGaey41aqRaamyAaaGaayjkaiaawMcaaaGaayjkaiaawMcaaiabg2da9iab=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@E0CA@