In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The … future inflation rate. In almost all of our regressions, the embedded option return index is significant even in the presence … of traditional inflation variables, such as lagged inflation, the return on gold, the return on crude oil, the VIX index …

In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The … future inflation rate. In most of our regressions, our embedded option return index is significant even in the presence of … traditional inflation variables, such as the yield spread between nominal Treasuries and TIPS, the return on gold bullion, the VIX …

," undesirable rates of inflation, and high levels of consumer spending, among others. Ongoing statistical work suggests that macrop …

Inflation-indexed securities would appear to be the most direct source of information about inflation expectations and … real interest rates" (Bernanke, 2004). In this paper we study the term structure of real interest rates, expected inflation … and inflation risk premia using data on prices of Treasury Inflation Protected Securities (TIPS) over the period 2000 …

We use several US and euro-area surveys of professional forecasters to estimate a dynamic factor model of inflation … featuring time-varying uncertainty. We obtain survey-consistent distributions of future inflation at any horizon, both in the US … and the euro area. Equipped with this model, we propose a novel measure of the anchoring of inflation expectations that …