by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation … expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate … recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected in ation. The …

We propose a new model to decompose inflation swaps into genuine inflation expectations and risk premiums. We develop a … long-run, economically grounded determinants, such as the equilibrium real interest rate and the inflation target. Our … estimations deliver new insights into how macroeconomic variables affect market-based inflation expectation measures. …

In this paper we construct model-free and model-based indicators for the inflation risk premium in the US and the euro … fears on the inflation risk premium. For our analysis, we construct a special dataset with a broad range of indicators. The … the variables that potentially can explain the movements in the inflation risk premium. We find that the inflation risk …

This paper estimates the inflation risk premium using data on prices of Treasury inflation-protected securities (TIPS … the first subperiod. We find that the inflation risk premium is time varying and, on average, is considerably lower than … inflation risk premium ranges from -9 to 4 basis points over the full sample and ranges between 1 and 6 basis points over the …

and inflation risk premia using data on prices of Treasury Inflation Protected Securities (TIPS) over the period 2000 …-2008. The approach we use to estimate inflation risk premium is arbitrage free, largely model free, and easy to implement. We … that the inflation risk premium is time-varying: it is negative (positive) in the first (second) half of the sample period …

risk premia embodied in financial instruments. We first provide some stylized facts about the term structure of inflation … compensation, inflation expectations and inflation risk premia in the euro area bond market. Latent factor models like ours fit … perceived asymmetries in inflation risks help interpret the dynamics of long-term inflation risk premia, even after controlling …

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 …

We argue that corporate bond yields reflect fears of debt deflation. When debt is nominal, unexpectedly low inflation … increases real liabilities and default risk. In a real business cycle model with optimal but infrequent capital structure choice …, more uncertain or pro-cyclical inflation leads to quantitatively important increases in corporate log yields in excess of …

. Adding inflation as a second variable, we uncover two states in which expected consumption growth is low, one with high and … one with negative expected inflation. Embedded in a general equilibrium asset pricing model with learning, these dynamics … alternative derivation for a measure of time-varying disaster risk suggested by Wachter (2013), implying that both the disaster …

-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation …This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation …