We decompose 5 year nominal bond yields into real and inflation components in an international context using inflation …-linked and nominal bonds. Real rate variation dominates the variation in inflation-linked and nominal yields, but liquidity and … inflation risk premiums are also important. Cross-country nominal and inflation-linked yield correlations have declined since …

This article starts by discussing the concept of “inflation hedging” and provides some estimates of “inflation betas … poor inflation hedges. Expanding the menu of assets to foreign bonds, real estate and gold only improves matters marginally …. This indicates a potentially important role for inflation index linked bonds. We then briefly discuss the pros and cons of …

inflation decline right after and up to a year following a FTS spell. …

growth and inflation decline right after and up to a year following a FTS spell. …

economic growth and inflation decline right after and up to a year following a FTS spell. …

. Whereas our methodology is general, we focus on an extended macro-model with unobservable processes for the inflation target … inflation target dominates the variation in the 'level factor' whereas monetary policy shocks dominate the variation in the …

. Whereas our methodology is general, we focus on an extended macro-model with an unobservable time varying inflation target and … responses of the entire term structure to various macroeconomic shocks. The inflation target dominates the variation in the …

, inflation, the output gap, and cash flow growth. We also view risk aversion, uncertainty about inflation and output, and …

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 …