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 …

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 breakeven inflation rate (the difference between the nominal … inflation expectations implied by the model, lending support to the view that TIPS breakeven inflation rates are a useful proxy …

.S. economy, implying significantly positive real term and inflation risk bond premia. In contrast to previous literature, both …-rule responses to inflation (output) increase (decrease) both premia, while policy surprises generate negligible risk premia …

patterns in economic activity and inflation following oil price shocks in the euro area. In the 'normal regime', oil price … shocks are followed by sizeable and sustained macroeconomic fluctuations, with inflation and economic activity moving in the … same direction as the oil price. The responses of inflation expectations and wage growth point to second-round effects as a …