break-even inflation rates when market volatility is high. Our model’s ability to be updated weekly makes it suitable for … real-time monetary policy analysis. -- Affine term structure models ; inflation expectations ; stochastic volatility …

model to be extended with stochastic volatility and heavy tailed disturbances. We develop a flexible estimation method for …

of high volatility compared to periods of low volatility, using a regime-switching vector autoregression. Exogenous … is weaker in high volatility periods. To rationalize our robust empirical results, we use a macroeconomic model in which … volatility of aggregate shocks. In low volatility periods, financial intermediaries lever up, which makes their balance sheets …