interpretation. The first factor is an unobserved inflation target, the second factor is annual inflation, and the third factor is a … Taylor rule. We find that the long end of the yield curve is primarily driven by changes in the unobserved inflation target …. At shorter maturities, yield curve movements reflect short-run inflation and the Taylor rule residual. For holding …

-year period that the UK monetary authorities have pursued an explicit inflation target, using a four-factor essentially affine … nominal forward rates into expected real short rates, expected inflation, real term premia and inflation risk premia. We find … that inflation risk premia and longer-term inflation expectations fell significantly when the Bank of England was made …

index-linked bonds by institutional investors and foreign central banks. …