Inflation expectation is acknowledged to be an important indicator for policy makers and financial investors. To … capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage …-free model across different countries in a multi-maturity term structure, where we first estimate inflation expectation by …

, inflation, and inflation expectation. However, existing literature falls short in endogenizing inflation expectation together … curve. Inflation expectation is treated as a function of state variables and we use survey data as its observations. We find … out that the estimated NAIRU using our methodology tracks the unemployment process closely except for the high inflation …