comovement is the central bank of the small open economy accommodating foreign inflation trends, rather than systematically … curbing them. (3) Small open economies may find themselves much more affected by changes in US inflation trends than the US …

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 …

Long-term interest rates in a number of small-open inflation targeting economies co-move more strongly with US long … responding to foreign productivity and discount factor shocks that cause persistent changes in inflation. We also overcome the …

to recent reduced-form empirical estimates - with real risk two times more important than inflation risk. The model …

equilibrium interest rate (r*), trend inflation (π*), and term premia. Similar to Bauer and Rudebusch (2020, AER), π* and r …

inflation rates. Expectations about real macroeconomic variables seem to matter more than expectations about nominal factors …Die empirische Literatur zur Zinsstruktur zeigt, dass sich langfristige Zinsen nicht - wie dies die sogenannte …