substantial time variation, with the level factor moving closely with measures of inflation expectations. Our estimates indicate a … adopted an inflation-targeting regime. During the inflation-targeting regime, monetary policy shocks have been more muted and … inflation expectations have been lower than in the pre-1992 era. The link between the macroeconomy and the yield curve has also …

Equal compensation across assets for the same risk exposures is a bedrock of asset pricing theory and empirics. Yet …