. 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 …

cyclical movements in Treasury bond premia. Downward nominal rigidities create state-dependence in output and inflation … dynamics: a higher level of inflation makes prices more flexible, leading output and inflation to be more volatile, and bonds … to become more risky. The model matches well the relation between the level of inflation and a number of salient macro …

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 …

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 … uncertainty differs importantly from measures of disagreement regarding inflation forecasts and other proxies, such as model …

yields' fluctuations and highlight the roles of a tight monetary policy stance and expectations of lower inflation in … negative inflation slope points to higher odds of a recession within a year. An aggressive removal of policy accommodation …

and implied volatility of T-bonds and survey forecasts of GDP growth and inflation. We find relatively stable inflation …

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 … uncertainty differs importantly from measures of disagreement regarding inflation forecasts and other proxies, such as model …

We study euro-area risk-adjusted expected inflation and the inflation risk premium at different maturities, leveraging … inflation swaps, inflation options and survey-based forecasts. We introduce a model that features time-varying long-term average … inflation and time-varying inflation volatility and we anchor market-based risk-adjusted measures of expected inflation to …

In this paper we construct model-free and model-based indicators for the inflation risk premium in the US and the euro … area. We study the impact of market liquidity, surprises from inflation data releases, inflation volatility and deflation … fears on the inflation risk premium. For our analysis, we construct a special dataset with a broad range of indicators. The …