A measure of the credibility of monetary policy is the inflation risk premium embodied in nominal yields. This will be … with that in the real term structure of inflation-indexed bonds. Information can also be obtained about the real risk … premium, and about expected inflation. We estimate these risk premia using a generalization of the Cox-Ingersoll-Ross (CIR …

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 …