RDP 2011-01: Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds
Equation
τ
log
(
1
+
3
%
)
=
−
a
¯
τ
−
β
¯
′
τ
(
e
−
K
(
s
−
t
)
x
t
+
(
I
−
e
−
K
(
s
−
t
)
)
μ
)
+
1
2
β
¯
′
τ
Ω
s
−
t
β
¯
τ
.
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