We use two market-based measures of inflation compensation to explore the transmission mechanism of monetary policy to inflation markets. New information about the Fed's monetary policy stance becomes available on the days of meetings of the Federal Open Market Committee (FOMC) and is reflected...

I explore the term structure of interest rates, inflation expectations, and inflation risk premia in an endogenous inflation economy. I illustrate the implications of such an economy in a macro-finance model in which the Taylor rule shock and consumption growth have Markov-switching dynamics. A...

We examine the transmission mechanism of monetary policy to inflation markets. We decompose monetary policy shocks in the United States into two orthogonal channels: the policy channel, measured by the change in 2-year nominal Treasury yield, and the communication channel, measured by the...