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. …

that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation … benign inflation volatility when the bond yield became higher. Evidence for a long span of US data, and shorter German …, Japanese, and UK data, suggests the recent rise in the equity yield is accompanied by an uptick in inflation volatility …

government bonds to derive expected inflation rates and the corresponding inflation risk premia, in the euro area and in the … factors and one inflation factor; the model provides substantial information related to expected inflation and inflation risk … market and economic outlook in the United States and by news on inflation in the euro area; this preliminary results can be …

government bonds to derive expected inflation rates and inflation risk premia, in the euro area and in the US. Maximum likelihood … which can be interpreted as two real factors and one inflation factor. These provide important information on expected … inflation and inflation risk premia. The results highlight some striking differences between the euro area and the US. In the US …