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

-linked bonds using a state-space estimation. Our results show that once one accounts for time-varying liquidity and inflation risk …We provide a critical assessment of the method used by the Cleveland Fed to correct expected inflation derived from … index-linked bonds for liquidity and inflation risk premia and show how their method can be adapted to account for time …

Many economic studies on inflation forecasting have found favorable results when inflation is modeled as a stationary …

subsequent real activity and inflation. Some of these relationships are highly significant, but their theoretical motivations … empirical relationships are in fact stable. We consider continuous models, which predict either economic growth or inflation … Germany and the United States. Models that predict real activity are more stable than those that predict inflation, and binary …

We show empirically that survey-based measures of expected inflation are significant and strong predictors of future … money illusion seems to be the driving force behind our results. Another popular hypothesis - inflation as a proxy for …

This paper examines the long-run effects of supply shocks (such as oil shocks) on inflation in the United States. The … persistence of supply shocks in U.S. inflation fell considerably during the period of Volcker's disinflation (1979-1982). My … the behavior of inflation expectations-agents expected shocks to persist in the pre-Volcker period, but not in the post …

We present estimates of the term structure of inflation expectations, derived from an affine model of real and nominal … yield curves. The model features stochastic covariation of inflation with the real pricing kernel, enabling us to extract a … time-varying inflation risk premium. We fit the model not only to yields, but also to the yields' variance …

A crucial but often ignored element of inflation expectations is the amount of perceived inflation risk. This paper …) using a new methodology. The main conclusion from our analysis is that, when monitoring inflation expectations, limiting … attention to a point prediction is not sufficient. The analysis of inflation expectations should take into account inflation …

economy. Romer and Romer (2000) found that the Fed reveals information about inflation when it tightens monetary policy. Their … exclude the Fed's revelation of its asymmetric information about future inflation. …

can be calculated directly, without the estimation of RNDs, but which show strong co-movement with the central moments of …