In this paper we decompose nominal interest rates into real risk-free rates, inflation expectations and risk premia … using an affine model that takes as factors the observed inflation rate and the parameters generated in the zero yield curve … countries currently involved in convergence towards EMU. The evidence indicates that inflation expectations and risk premia …

directly the inflation rate as an additional factor without reducing the forecasting ability of the model. The augmented model … produces an estimation of market expectations about inflation free of liquidity, counterparty and term premia. We provide a … comparison of the properties of this indicator with others usually employed to proxy the inflation expectations, such as the …

paper explores the behaviour of inflation expectations across countries that share their monetary policy, in particular … liquidity risk component, is proposed and estimated using daily data from inflation swaps for Spain, Italy, France, Germany and …-specific components in the term structure of inflation expectations. We find sizable differences in inflation expectations across the main …

Colombia y México ; In this paper we estimate inflation expectations for several Latin American countries using an affine model … that takes as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds …. By implementing this approach, we avoid the use of inflation-linked securities, which are scarce in many of these markets …

inflation well when the labor income share is used as a driving variable, but fits poorly when deterministically detrended … share version of the new-Keynesian Phillips curve is a very poor model of price inflation. We conclude that there is little …

the model as the key factor in explaining the muted responses of inflation to movements in the output gap witnessed …

The New Keynesian Phillips Curve (NKPC) is now the dominant model of inflation dynamics. In recent years, a large body …

percentage points, with roughly constant inflation. This change has been more pronounced than elsewhere. We argue that this stems … the fall in unemployment since 1995 would have led to an annual increase in inflation of 2.5 percentage points if it had …