GDP growth, inflation and the nominal short-term interest rate generates predictions that are more consistent with survey …

dynamics of inflation risk premia over the 1983-2013 period by allowing for time-varying market prices of inflation risk and … incorporating survey information on inflation uncertainty in the estimation. The model captures changes in premia over very diverse … periods, from the inflation scare episodes of the 1980s, when perceived inflation uncertainty was high, to the more recent …

GDP growth, inflation and the nominal short-term interest generates predictions that are more consistent with survey …