of the real short rate and influences the expectations hypothesis component embedded in bond yields. As a result …, including growth data in canonical yield-curve models delivers significant gains in the predictability of bond excess returns in …

modelling the nominal and inflation-indexed bond yields jointly for each country. The Nelson-Siegel model is popular in fitting …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 …

We examine the inflation-hedging properties of various financial assets and portfolios by estimating simple time …-series models of the joint dynamics of each asset-inflation pair, for multiple inflation indices and at horizons from one month to … 30 years. There is no one-size-fits-all approach to inflation hedging: the optimal hedge depends on the particular types …

cyclical movements in Treasury bond premia. Downward nominal rigidities create state-dependence in output and inflation … dynamics: a higher level of inflation makes prices more flexible, leading output and inflation to be more volatile, and bonds … to become more risky. The model matches well the relation between the level of inflation and a number of salient macro …

affects the relation between nominal interest rates, inflation expectations, and real interest rates. The benchmark parameters … include stronger inflation targeting and more active monetary policy …