RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia Equation

P t n,* = E t Q ( exp( − r t ) Q t+1 Q t P t+1 n−1,* ) = E t ( exp( − r t + π t+1 − 1 2 λ t ′ λ t − λ t ′ ε t+1 + A n−1 * + B n−1 * ′ X t+1 ) ) = E t ( exp( − r ˜ t − 1 2 λ t ′ λ t − λ t ′ ε t+1 + A n−1 * + B ˜ n−1 * ′ X t+1 ) ) MathType@MTEF@5@5@+=feaagCart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLnhiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=xfr=xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGceaqabeaacaWGqbWaa0baaSqaaiaadshaaeaacaWGUbGaaiilaiaacQcaaaGccqGH9aqptuuDJXwAK1uy0HMmaeHbfv3ySLgzG0uy0HgiuD3BaGqbaiab=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@C739@