.S. economy, implying significantly positive real term and inflation risk bond premia. In contrast to previous literature, both …-rule responses to inflation (output) increase (decrease) both premia, while policy surprises generate negligible risk premia …

costs could rise due to excessive risk-taking; higher inflation expectations; higher likelihood of ever-greening; and higher …

We propose a new approach to measuring long-run inflation risk, the inflation risk premium, and inflation expectations … for the UK over the period 1985–2012. By adding long-term bond futures to the information set of inflation-indexed and … nominal bonds, inflation risk is measured as an incremental time-varying covariance obtained from a trivariate GARCH model …

Forward interest rates have become popular indicators of inflation expectations. The usefulness of this indicator … depends on the relative volatility and the correlation of inflation expectations and expected real interest rates. This paper … expected real interest rate add to the inflation expectations is balanced by a tendency for expected real interest rates and …

A simple test of inflation target credibility is constructed by subtracting the maximum and minimum inflation rates … consistent with the inflation targets from the yields to maturity on nominal bonds. This results in a target-consistent range of … absolute credibility and credibility in expectation, are distinguished. The credibility of inflation targets of Canada, New …

production and price-setting decisions of firms drive low-frequency movements in growth and inflation rates that are negatively … related. With recursive preferences, these growth and inflation dynamics are crucial for rationalizing key stylized facts in …