This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the …-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation …

shocks predict negative real bond risk premium and positive inflation risk premium. Since these two effects offset each other … bond yield, breakeven inflation, and nominal bond yield respond differently to oil supply and demand shocks …Compared with stocks, bonds are more directly affected by fluctuations in oil prices through the expected inflation …

We build a model for bond yields based on a small-scale representation of an economy with secular declines in inflation …, the real rate and output growth. Long-run restrictions identify nominal shocks that influence long-run inflation but do … results show that, before the anchoring of inflation around the mid-1990s, nominal shocks lifted the output gap and inflation …

inflation index on a discrete tenor structure, which, along with the nominal discount bond, is driven by a log …We introduce a new approach to model the market smile for inflation-linked derivatives by defining the Quadratic … Gaussian Year-on-Year inflation model -- the QGY model. We directly define the model in terms of a year-on-year ratio of the …

solutions, all have failed as these attempts implicitly assume perfectly-correct inflation statistics. Examining these … assumptions, we discover that not only are the inflation numbers materially flawed, but more so, there are significant incentives … for government entities to under-report inflation. With this, we find that to explain the Equity Premium Puzzle, inflation …

-run components of dividend risk and inflation risk. While labor rigidity shifts dividend risk towards the short horizon, it also … reveals - by means of labor-share variation - the component of inflation risk which is correlated with fundamentals. A simple … general equilibrium model with labor rigidity can explain how inflation interacts with the real growth and the labor-share, as …

-run components of dividend risk and inflation risk. While labor rigidity shifts dividend risk towards the short horizon, it also … reveals -- by means of labor-share variation -- the component of inflation risk which is correlated with fundamentals. A … simple general equilibrium model with labor rigidity can explain how inflation interacts with the real growth and the labor …

A no-arbitrage pricing model with inflation as the only priced risk factor explains the bond, equity, and value premia … observed in the United States over the past sixty years. Even though inflation is the only priced factor, in an economy with … three state variables -- inflation, the real rate, and corporate profitability -- the real rate and profitability play a …

for Treasuries, inflation-protected securities, inflation derivatives, and oil future prices based on no … information from inflation options can often produce more accurate inflation forecasts than those based on the Survey of … Professional Forecasters. Second, incorporating oil futures tends to improve short-term inflation and longer-term nominal yield …

The purpose of this paper is to review the literature on inflation-adjusted bonds, swaps, and derivatives. The … use in monetary policy, the empirical literature primarily uses these models to estimate both the expected inflation rate … and inflation risk premium. A literature investigating the efficiency of the inflation derivative markets and a comparison …