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RBA Glossary definition for inflation

inflation – A measure of the change (increase) in the general level of prices.

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Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds

14 Mar 2011 RDP 2011-01
Richard Finlay and Sebastian Wende
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2011/2011-01.html

Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds

1 Mar 2011 RDP 2011-01
Richard Finlay and Sebastian Wende
Research Discussion Paper – RDP 2011-01 Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds.
https://www.rba.gov.au/publications/rdp/2011/2011-01/

Model

31 Dec 2011 RDP 2011-01
Richard Finlay and Sebastian Wende
Appendix A provides a brief overview of the inflation, nominal and real SDFs. ... According to this model,. , so that the instantaneous inflation rate is given by.
https://www.rba.gov.au/publications/rdp/2011/2011-01/model.html

Results

31 Dec 2011 RDP 2011-01
Richard Finlay and Sebastian Wende
RDP 2011-01: Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds 4. ... The inflation yield curve is given as the difference between nominal and real yields.
https://www.rba.gov.au/publications/rdp/2011/2011-01/results.html

Appendix B: The Mathematics of Our Model

31 Dec 2011 RDP 2011-01
Richard Finlay and Sebastian Wende
RDP 2011-01: Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds Appendix B: The Mathematics of Our Model. ... In terms of the inflation yield from Equation (A5) this can be written as.
https://www.rba.gov.au/publications/rdp/2011/2011-01/appendix-b.html

References

31 Dec 2011 RDP 2011-01
Richard Finlay and Sebastian Wende
RDP 2011-01: Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds References. ... Economic Record. , 85(271), pp 383–400. Hördahl P (2008), ‘The Inflation Risk Premium in the Term Structure of Interest Rates’,.
https://www.rba.gov.au/publications/rdp/2011/2011-01/references.html

Data and Model Implementation

31 Dec 2011 RDP 2011-01
Richard Finlay and Sebastian Wende
Government inflation-indexed bond yields; inflation forecasts from Consensus Economics; and historical inflation. ... t. As bond prices incorporate inflation risk, so does the inflation forward rate.
https://www.rba.gov.au/publications/rdp/2011/2011-01/data-and-mod-imp.html

Introduction

31 Dec 2011 RDP 2011-01
Richard Finlay and Sebastian Wende
RDP 2011-01: Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds 1. ... The inflation yield may not give an accurate reading of inflation expectations, however.
https://www.rba.gov.au/publications/rdp/2011/2011-01/introduction.html

Appendix C: Central Difference Kalman Filter

31 Dec 2011 RDP 2011-01
Richard Finlay and Sebastian Wende
Let m. k. be the number of observed inflation-indexed bond prices in period k. ... Let n. k. be the number of observed inflation forecasts in period k.
https://www.rba.gov.au/publications/rdp/2011/2011-01/appendix-c.html

Appendix A: Yields and Stochastic Discount Factors

31 Dec 2011 RDP 2011-01
Richard Finlay and Sebastian Wende
such that the pricing equation for inflation yields holds. That is, such that. ... Finally, we link our inflation yield to inflation expectations and the inflation risk premium.
https://www.rba.gov.au/publications/rdp/2011/2011-01/appendix-a.html