We propose a new model to decompose inflation swaps into genuine inflation expectations and risk premiums. We develop a … long-run, economically grounded determinants, such as the equilibrium real interest rate and the inflation target. Our … estimations deliver new insights into how macroeconomic variables affect market-based inflation expectation measures. …

Although inflation-linked bonds have many advantages, nominal bonds are the most important instrument to finance public … monetary policies more effective. This paper reconsiders this argument with a model that features an inflation risk premium in …, inflation-linked bonds always outperform nominal bonds. The case of commitment qualifies this result. Still, also commitment …

We build a novel term structure model for pricing synthetic euro area core inflation-linked swaps, a hypothetical swap … contract indexed to core inflation. Our approach relies on a term structure model of traded headline inflation-linked swap … rates, which we assume span core inflation. The model provides estimates of market-based expectations for core inflation, as …