inflation expectations and risk premia. This entails jointly pricing and decomposing nominal and real UK yields. We find … evidence that medium- and long-term inflation expectations are contained within narrower bounds since the early 1990s …, suggesting monetary policy credibility improved after the introduction of inflation targeting. …

variables, such as consumer price inflation, the growth of industrial production, the stock price index, the exchange rate of …

cyclical movements in Treasury bond premia. Downward nominal rigidities create state-dependence in output and inflation … dynamics: a higher level of inflation makes prices more flexible, leading output and inflation to be more volatile, and bonds … to become more risky. The model matches well the relation between the level of inflation and a number of salient macro …

influence on long-term INR swap yields after controlling for other factors, such as core inflation, the growth of industrial …

variables, such as core inflation, the growth of industrial production, the percentage change in the equity price index, and the … influence on the long-term swap yield in some periods but not in other periods in which core inflation exerts a marked influence …

-rate process is truncated at zero. Despite its simplicity, a version of this model incorporating inflation can fit longer …