Uncovering financial markets' beliefs about inflation targets
利用利率期限结构，对长期利率和通胀的联合过程施加可检验的经济约束，并应用于加拿大通胀目标区间，发现市场认为区间宽度与官方公布相近但分布不对称，暗示央行对正负偏差权重不同。
This paper exploits the term structure of interest rates to develop testable economic restrictions on the joint process of long-term interest rates and inflation when the latter is subject to a targeting policy by the central bank. In an empirical application to the Canadian inflation target zone, results indicate that financial markets perceive the band to be of approximately the same width as announced but asymmetrically distributed around the official target. This finding suggests that, in practice, the monetary authority might attach different weights to positive and negative inflation deviations from the target. Copyright © 2000 John Wiley & Sons, Ltd.