Differences between yields on comparable-maturity U.S. Treasury nominal and real debt, the so-called breakeven … could be obtained by subtracting inflation risk premiums from the BEI rates. We provide such decompositions using an … estimated affine arbitrage-free model of the term structure that captures the pricing of both nominal and real Treasury …

the other recent U.S. studies also discard these earlier readings on TIPS yields. Specifically, H¨ordahl and Tristani ….html and are described in G¨urkaynak, Sack, and Wright (2007). These yields are constructed by fitting a zero-coupon yield …), Diebold and Li (2006), G¨urkaynak, Sack, and Wright (2007), and CDR (2007). CDR show that an AFNS model can closely fit the …