interest, inflation, currency depreciation and inflation differentials. Forward rates are related to these expected future … variables via combinations of term, inflation and foreign exchange risk premia. A unified derivation, discussion and comparison …

open economies, and uses it to assess the effectiveness of Taylor rules and Inflation-Forecast-Based (IFB) rules in … stabilizing variability in output and inflation. Our findings suggest that a simple IFB rule that does not rely upon any direct … estimates of the equilibrium real interest rate and places a relatively high weight on the inflation forecast may perform better …

.S. government. We use our estimates to account for contributions to the evolution of the debt to GDP ratio made by inflation, growth …

This paper estimates expected future real interest rates and inflation rates from observed prices of UK government …-linked bonds. It assumes that expected log returns on all bonds are equal, and that expected real interest rates and inflation … inflation expectations forecast actual future inflation more accurately than nominal yields do. The estimated real interest rate …

, we characterize the moments of the stationary distribution of inflation under regime switiching to obtain conditions for …

Changes in nominal interest rates must be due to either movements in real interest rates, expected inflation, or the … inflation risk premium. We develop a term structure model with regime switches, time-varying prices of risk, and inflation to … around 1.3%. In one real rate regime, the real term structure is steeply downward sloping. An inflation risk premium that …