According to several empirical studies, US inflation and nominal interest rates, as well as the real interest rate, can … be described as unit root processes. These results imply that nominal interest rates and expected inflation do not move … the three-month treasury bill rate and inflation share a common nonlinear component that explains a large part of their …

for the conduct of monetary policy, namely expected inflation and inflation risk premia. We solve the model using a third … hypothesis and the business-cycle behaviour of nominal interest rates in US data. We find that inflation risk premia are very … interest rates from index-linked bonds as a proxy for inflation expectations. Moreover, for short maturities current inflation …