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 …

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. …

This article analyses agents’ perception of the period of low inflation in recent years, in the context of a model in … to be drawn between which portion of the low inflation phenomenon might be due to temporary factors and which might be … considered permanent. The results of the analysis for the euro area suggest that agents perceive the inflation rate’s recent …

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 …

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 as to how macroeconomic variables affect market-based inflation expectation measures …

generally find that deflation terms contributes negatively to such a premium and inflation positively. The magnitudes of the … coefficients associated with deflation tend to be greater, compared to those associated with inflation. This suggests that …

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 …

, premium components are less reactive to inflation shocks, while real rate responses change their sign from positive to …

, premium components are less reactive to a typical 10 bp increase in inflation, while real rate responses change their sign …