Market-based measures of inflation expectations can be derived either from the difference between yields on nominal and … inflation-linked government bonds or from inflation swap rates. These measures are important indicators of the outlook for … inflation and are monitored regularly by the United Kingdom's Monetary Policy Committee (MPC), alongside other measures of …

Using market prices of inflation-linked bonds and nominal bonds issued by the French Treasury, both the real and … evidence on the benefits of hedging portfolios against real interest rate and inflation risks rather than against nominal …

inflation-linked bonds (ILB mispricing) in the G7 government bond markets, and extends the slow moving capital explanation of … the persistence of arbitrage mispricing in financial markets. Nominal bonds are “richer” than cash-flow matched inflation … which represents more than eight percent of the total size of the G7 inflation-linked bond markets. Furthermore, the index …

This paper investigates the impact of revisions in inflation expectations on the prices of UK inflation-indexed and … conventional government bonds with a vector autoregressive (VAR) model. Downwards revisions of inflation expectations are … affected. This suggests that indexed bonds protect investors against inflation while nominal bonds are exposed to changing …

. This model decomposes the changes in original inflation series as two new series: increases and decreases in inflation … rates. Hence, it enables us to examine the Fisher effect in terms of increases and decreases in inflation separately. The …

Mispricing between Treasury inflation linked bond and nominal bonds is an issue under attention. This paper examines …

We study risk premium in US Treasury bonds. We decompose Treasury yields into inflation expectations and maturity …-specific interest rate cycles, which we define as variation in yields orthogonal to expected inflation. The short-maturity cycle … captures the real short-rate dynamics. Jointly with expected inflation, it comprises the expectations hypothesis (EH) term in …