coupon securities is not a direct measure of inflation expectations, because it contains inflation risk premium, and because … using data from the (indexed) real bond market, we cannot fully identify the real interest rate from the inflation risk …

risk premia and the slope and level of the yield curve. In a world of technology shocks only, increasing the degree of real … rigidities raises risk premia and increasing nominal rigidities reduces risk premia. In a world of monetary policy shocks only …. Using a second-order numerical solution to the model, we examine bond and equity returns, the equity risk premium, and the …

This paper examines a recent shift in the dynamics of the term structure and interest rate risk. We first use standard … attributed to changes in the pricing of risk associated with a "level" factor. Finally, we suggest a link between the shift in … term structure behavior and changes in the risk and dynamics of the inflation target as perceived by investors …

This paper estimates the size and dynamics of inflation risk premia in the euro area using information from nominal and … index-linked yields. Our main result is that the inflation risk premium on long-term nominal yields is nonnegligible from an …

policy rates. Our findings suggest that the importance of fluctuations of risk premia in explaining the deviation from the ET …