We use an integrated framework based on the CCAPM to jointly estimate ex-ante real interest rates, inflation risk … premia and agents' inflation expectation errors in four countries - France, Spain, UK and US - under three different …

stable rates inflation in many countries in the nineties. Consequently, the main goal of this paper is to offer an overview … of the main policy issues arising in a low inflation environment and their practical relevance so as to identify the main …

bond price negotiation will produce higher volatility for bonds approaching their maturity dates. To show these effects, we … the out-ofsample error for each bond and day. The variance of these errors is found to be negatively correlated with each … bond’s turnover and duration, while the mean of the errors is found to be directly correlated with the estimated variance …

This paper analyses the behaviour of real interest rates in the Spanish economy over the last 15 years. Since inflation … that inflation uncertainty could account for a notable part of the observed decrease in nominal rates. Consequently, the …

directly the inflation rate as an additional factor without reducing the forecasting ability of the model. The augmented model … produces an estimation of market expectations about inflation free of liquidity, counterparty and term premia. We provide a … comparison of the properties of this indicator with others usually employed to proxy the inflation expectations, such as the …

In this paper we decompose nominal interest rates into real risk-free rates, inflation expectations and risk premia … using an affine model that takes as factors the observed inflation rate and the parameters generated in the zero yield curve … countries currently involved in convergence towards EMU. The evidence indicates that inflation expectations and risk premia …