structure model of inflation and interest rates. Our empirical results indicate that TIPS yields contained a "liquidity premium …-varying inflation risk premium complicates the interpretation of the TIPS break even inflation rate (the difference between the nominal … inflation expectations implied by the model, lending support to the view that TIPS break even inflation rates are a useful proxy …

We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in the United … inflation and interest rate expectations at various future horizons, as well as term structure data from both nominal and index …-linked bonds. Our results show that, in both currency areas, inflation risk premia are relatively small, positive, and increasing …