Remolona, Eli M.; Wickens, Michael R.; Gong, Frank F. - Federal Reserve Bank of New York - 1998
A measure of the credibility of monetary policy is the inflation risk premium in nominal yields. This will be time … structure of the corresponding nominal yields. Our estimates show that the inflation risk premium contributes on average about … credibility. The inflation risk premium provides a correction to the break-even method of forecasting inflation and produces an …