an indexation lag, and the term structure of expected inflation. Unlike prior studies, the model's parameters are … estimated using data on inflation swap rates, as well as nominal yields and survey forecasts of inflation. The volatility state … representing the short-term real interest rate, expected inflation, inflation's central tendency, and four volatility factors that …

how to use traded zero-coupon inflation-indexed swap rates to estimate inflation risk premiums …, and the inflation risk premium to price inflation-indexed derivatives, including zero-coupon inflation-indexed swaps, year …-on-year inflation-indexed swaps, inflation-indexed swaptions, and inflation-indexed caps and floors. We provide an example and explain …

Theory predicts that the equilibrium real interest rate, r*t, and the perceived trend in inflation, ð*t, are key …

information content of the term structure of interest rates about future inflation. The empirical results of these studies … structure of interest rates only contains limited information about future inflation and that the relationship between the term … structure of interest rates and future inflation may not be stable over time. In this paper an extension of the Mishkin model …

indexation lag, the term structure of expected inflation, and inflation swap rates. The model parameters are estimated using data … on nominal Treasury yields, survey forecasts of inflation, and inflation swap rates. We find that allowing for GARCH … term structures are driven by state variables that include the short term real interest rate, expected inflation, a factor …

In this paper we estimate inflation expectations for several Latin American countries using an affine model that takes … as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds. By … implementing this approach, we avoid the use of inflation-linked securities, which are scarce in many of these markets, and obtain …

We propose a new model to decompose inflation swaps into genuine inflation expectations and risk premiums. We develop a … long-run, economically grounded determinants, such as the equilibrium real interest rate and the inflation target. Our … estimations deliver new insights into how macroeconomic variables affect market-based inflation expectation measures. …