Elisabetta Vangelista

European Stability Mechanism

6a Circuit de la Foire Internationale

L-1347

Luxembourg

SCHOLARLY PAPERS

3

DOWNLOADS

147

SSRN CITATIONS
Rank 47,189

SSRN RANKINGS

Top 47,189

in Total Papers Citations

5

CROSSREF CITATIONS

9

Scholarly Papers (3)

1.

UK Term Structure Decompositions at the Zero Lower Bound

Number of pages: 38 Posted: 15 Apr 2016 Last Revised: 24 Mar 2017
Andrea Carriero, Sarah Mouabbi and Elisabetta Vangelista
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, European Central Bank and European Stability Mechanism
Downloads 65 (485,249)
Citation 15

Abstract:

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Term structure, zero-lower bound, risk premiums, inflation expectations

2.

The Informational Content of Market-Based Measures of Inflation Expectations Derived from Government Bonds and Inflation Swaps in the United Kingdom

Bank of England Working Paper No. 551
Number of pages: 38 Posted: 02 Oct 2015 Last Revised: 09 Oct 2015
Zhuoshi Liu, Elisabetta Vangelista, Iryna Kaminska and Jonathan Relleen
Bank of England - Monetary Analysis, European Stability Mechanism, Bank of England and Bank of England
Downloads 54 (530,044)

Abstract:

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Affine arbitrage-free dynamic term structure model, breakeven inflation, inflation expectations, risk premia, funding liquidity, survey expectations

3.

Expectations and term premia in EFSF bond yields

European Stability Mechanism Working Paper No. 54
Number of pages: 37 Posted: 11 Aug 2022
Andrea Carriero, Lorenzo Ricci and Elisabetta Vangelista
Queen Mary, University of London, European Stability Mechanism and European Stability Mechanism
Downloads 28 (672,975)

Abstract:

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Term structure, volatility, density forecasting, no arbitrage