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

Assessing underlying inflation developments is crucial for a correct calibration of the monetary policy stance. To … monitor the adjustment in the path of euro area inflation towards the ECB's definition of price stability, we select a number … inflationary pressures net of the most volatile components, can be interpreted as gauging the probability of inflation returning to …

associated with the debt-deflation terms tends to be greater than those associated with inflation. This suggests that …://ssrn.com/abstract=2870167' Inflation Mechanisms, Expectations and Monetary Policy …

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 …

We revisit the concept of the cost of hedging inflation risks put forward in Bodie (1976). When doing so, we employ a …-varying compensation for expected and unexpected inflation shocks embedded in the sovereign bond yields of Germany, France, Japan and the … reflection of a low real risk-free rate, low inflation expectations and a low cost for hedging inflation risks. We have not …

The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do … so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging … inflation risks from the perspective of a well diversified portfolio. This allows to disentangle the time-varying compensation …