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 …

relate to investment performance and mortality/longevity development. We first develop stochastic models for equity and bond … takes into account the empirical observations of infrequent exceptionally large losses. The 5-year US government bond yearly …

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 …

of the two. We compare the accounting definition of deficit with the economic definition which takes inflation into …

optimise. Under discretionary monetary policy the size of the inflation bias depends on the fiscal policy regime. Using the … with the alternative fiscal policy rules, and inflation and output persistence reflects the economic data. With the deficit …