Ajello, Andrea; Benzoni, Luca; Chyruk, Olena - Federal Reserve Bank of Chicago - 2012
of total inflation to price nominal Treasuries. This approach captures different frequencies in inflation fluctuations … a common structure of latent factors determines and predicts the term structure of yields and inflation. The model … outperforms popular benchmarks and is at par with the Survey of Professional Forecasters in forecasting inflation. Real rates …