RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia Appendix F: Estimated Forward Rates for the Unfiltered Model
February 2018
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Figure F1: Expected Future Nominal Interest Rates
x-year-ahead
![Figure F1: Expected Future Nominal Interest Rates](images/figure-f1.gif)
Figure F2: Expected Future Real Interest Rates
x-year-ahead
![Figure F2: Expected Future Real Interest Rates](images/figure-f2.gif)
Figure F3: Expected Future Inflation Rates
x-year-ahead
![Figure F3: Expected Future Inflation Rates](images/figure-f3.gif)
Figure F4: Nominal Term Premia
x-year-ahead
![Figure F4: Nominal Term Premia](images/figure-f4.gif)
Figure F5: Real Term Premia
x-year-ahead
![Figure F5: Real Term Premia](images/figure-f5.gif)
Figure F6: Inflation Risk Premia
x-year-ahead
![Figure F5: Real Term Premia](images/figure-f6.gif)
Figure F7: Inflation Expectations
x-year-ahead, survey and model
![Figure F7: Inflation Expectations](images/figure-f7.gif)
Note: Ten-year-ahead survey observations are taken as five-year five-year forward expectations
Sources: Authors' calculations; Consensus Economics