RDP 2011-01: Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds Equation

f t , t + τ i = ρ 0 + 1 ′ ( e − K ∗ τ x t + ( I − e − K ∗ τ ) μ ∗ ) − 1 2 ( 1 ′ ( I − e − K ∗ τ ) K ∗ − 1 Σ ) ( 1 ′ ( I − e − K ∗ τ ) K ∗ − 1 Σ ) ′ . MathType@MTEF@5@5@+= feaagKart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9 vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=x fr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaamOzamaaDa aaleaacaWG0bGaaiilaiaadshacqGHRaWkcqaHepaDaeaacaWGPbaa aOGaeyypa0JaeqyWdi3aaSbaaSqaaiaaicdaaeqaaOGaey4kaSIabG ymayaafaWaaeWaaeaacaWGLbWaaWbaaSqabeaacqGHsislcaWGlbWa aWbaaWqabeaacqGHxiIkaaWccqaHepaDaaGccaWG4bWaaSbaaSqaai aadshaaeqaaOGaey4kaSYaaeWaaeaacaWGjbGaeyOeI0Iaamyzamaa CaaaleqabaGaeyOeI0Iaam4samaaCaaameqabaGaey4fIOcaaSGaeq iXdqhaaaGccaGLOaGaayzkaaGaeqiVd02aaWbaaSqabeaacqGHxiIk aaaakiaawIcacaGLPaaacqGHsisldaWcaaqaaiaaigdaaeaacaaIYa aaamaabmaabaGabGymayaafaWaaeWaaeaacaWGjbGaeyOeI0Iaamyz amaaCaaaleqabaGaeyOeI0Iaam4samaaCaaameqabaGaey4fIOcaaS GaeqiXdqhaaaGccaGLOaGaayzkaaGaam4samaaCaaaleqabaGaey4f IOIaeyOeI0IaaGymaaaakiabfo6atbGaayjkaiaawMcaamaabmaaba GabGymayaafaWaaeWaaeaacaWGjbGaeyOeI0IaamyzamaaCaaaleqa baGaeyOeI0Iaam4samaaCaaameqabaGaey4fIOcaaSGaeqiXdqhaaa GccaGLOaGaayzkaaGaam4samaaCaaaleqabaGaey4fIOIaeyOeI0Ia aGymaaaakiabfo6atbGaayjkaiaawMcaamaaCaaaleqabaGccWaGGB OmGikaaiaac6caaaa@8042@