, inflation, and long-term survey expectations, and a medium-scale dynamic stochastic general equilibrium (DSGE) model. We discuss …

We present an affine term structure model for the joint pricing of Treasury Inflation-Protected Securities (TIPS) and … nominal yields. Model-implied expected inflation provides a better prediction of actual inflation than breakeven inflation … crisis. -- TIPS ; inflation expectations ; affine term structure models …

magnitude. These effects are illustrated for three episodes: the period following the Russian default in 1998, the bond … premium ; bond risk premiums ; international spillover effects …

rate both matter for determining inflation and economic activity. …

We document capital misallocation in the U.S. investment-grade (IG) corporate bond market, driven by quantitative … easing (QE). Prospective fallen angels - risky firms just above the IG rating cutoff-enjoyed subsidized bond financing since …

observable differences, including rating, financial performance, industry, bond characteristics and issuance timing. The … they necessarily less liquid. Bond investors appear to discount the value of privately held equity. The effect does not …

characterize the expected path of nominal and real short-rates as well as inflation using the universe of U.S. surveys of … observed government bond yields and survey-based expected average short rates. Our term premiums measured directly based on … rates, and uncover a number of important facts: 1) the bulk of the variation in medium- and long-term bond yields is driven …