Dewachter, H.D.R.

factor model term structure trading structure price interest inflation effect expectation output gap trading rules interest rate certainty equivalent level table result shock output interest rates figure curve dynamic variable tendency paper equivalent flation strategy certainty return signal nontradeable inflation expectations productivity macro exchange agent risk aversion estimate series trading rule maturity ceqra value error estimation ceqch ceqrn age effects approach parameter trading signal chartist trading strategy order information opportunity cost sample xt +1 change equation journal policy market ratio portfolio sector measure section trader inflation expectation component analysis matrix literature regression variance growth yield