Inflation expectation is acknowledged to be an important indicator for policy makers and financial investors. To … capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage …-free model across different countries in a multi-maturity term structure, where we first estimate inflation expectation by …

is compared with the surveyed inflation expectations in order to obtain a rough measure of the inflation risk premium … smoothing spline methodology. The real term structure allows computation of the constant-maturity inflation compensation, which …. The comparison between the inflation compensation and the inflation swap shows that the two variables are closely …

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

-implied and statistical density functions to gain insight into deflation risk. Inflation expectations show a decreasing mean but …We tackle two questions in this paper: In the sovereign debt crisis, what moves the euro area inflation outlook and has … the firm anchoring of medium to long-term inflation expectations been touched? Deriving densities from a new data set on …

government bonds to derive expected inflation rates and inflation risk premia, in the euro area and in the US. Maximum likelihood … inflation and inflation risk premia. The results highlight some striking differences between the euro area and the US. In the US …, forward inflation risk premia become sizable around the start of the late-2000s financial crisis and considerably increase …

, based on it, we estimate a(n) (in)deflation risk premium. We find that our aggregate risk premium and a systemic financial … stress indicator correlate negatively. The absolute values of their (time-averaged) risk premiums and their financial … to explore the extent to which changes in the price and debt levels, are priced in by the (in)deflation risk premium. We …

We analyze contributions of different markets to price discovery on traded inflation expectations and how it changed … data set on inflation-indexed and nominal government bonds as well as inflation swaps to calculate information shares of … break-even inflation rates in the euro area and the US. For maturities up to 5 years new information comes from both the …

This paper provides a toolkit for extracting accurate information about inflation expectations using inflation …-linked bonds. First, we show how to estimate term structures of zero-coupon real rates and break-even inflation rates (BEIRs) in … the euro area. This improves the analysis of developments in inflation expectations by providing constant maturity …

I extend the evidence on the basic stylized facts documented for the U.S. variance risk premium (VP) and show that …

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …