In this paper we estimate inflation expectations for several Latin American countries using an affine model that takes … as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds. By … implementing this approach, we avoid the use of inflation-linked securities, which are scarce in many of these markets, and obtain …

This paper applies a recently developed method (Inoue and Rossi, 2021) to estimate functional inflation expectations … on both inflation and output. In addition, threshold functional local projections indicate that the effects are nonlinear … and depend on central bank credibility. Further, inflation expectations shocks have similar effects to supply (demand …

The term structure of inflation forecasts disagreement in the US can be summarized by two components: disagreement … about the trend inflation, and disagreement about the cyclical inflation. While the former has identical impacts on … forecasting horizons. Only the cyclical inflation disagreement has a significant impact on monetary policy efficacy. High …

of inflation expectations--inflation expectations at any horizon--and an associated term structure of real interest rates …. Inflation expectations extracted from this model track realized inflation quite well, and in terms of forecast accuracy, they …-run inflation expectations remained anchored, and the policies of the Federal Reserve provided a large level of monetary stimulus to …

Economic theory predicts that intertemporal decisions depend critically on expectations about future outcomes. Using … of expectations for output growth, inflation, and the policy rate. We show that a simple unobserved components model of …

yields' fluctuations and highlight the roles of a tight monetary policy stance and expectations of lower inflation in … negative inflation slope points to higher odds of a recession within a year. An aggressive removal of policy accommodation …

characterize the expected path of nominal and real short-rates as well as inflation using the universe of U.S. surveys of … by term premiums, not expected short rates or inflation; 2) term premiums co-move more strongly across maturities than … is primarily the result of a decline of expected inflation and term premiums while expected future real rates have …

real and nominal risk premia through endogenous inflation. The estimated model captures macroeconomic and yield curve … properties of the U.S. economy, implying significantly positive real term and inflation risk bond premia. Both premia are induced … by wage rigidities as a compensation for permanent productivity shocks. Stronger policy-rule responses to inflation …

, premium components are less reactive to inflation shocks, while real rate responses change their sign from positive to …