We develop a time-varying transition probabilities Markov Switching model in which inflation is characterised by two … regimes (high and low inflation). Using Bayesian techniques, we apply the model to the euro area, Germany, the US, the UK and … Canada for data from the 1960s up to the present. Our estimates suggest that a smoothed measure of broad money growth …

We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk … premiums when real bonds or inflation swaps are unavailable or unreliable due to their relative illiquidity. We combine nominal … yields with surveys of inflation forecasts within a no-arbitrage model where conditional expectations are latent but spanned …