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 …

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 …