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 …

and implied volatility of T-bonds and survey forecasts of GDP growth and inflation. We find relatively stable inflation …

In this paper we construct model-free and model-based indicators for the inflation risk premium in the US and the euro … area. We study the impact of market liquidity, surprises from inflation data releases, inflation volatility and deflation … fears on the inflation risk premium. For our analysis, we construct a special dataset with a broad range of indicators. The …

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. …

This article analyses agents’ perception of the period of low inflation in recent years, in the context of a model in … to be drawn between which portion of the low inflation phenomenon might be due to temporary factors and which might be … considered permanent. The results of the analysis for the euro area suggest that agents perceive the inflation rate’s recent …

A dynamic term structure model based on an explicit structural macroeconomic framework is used to estimate inflation … risk premia in the United States and the euro area. On average over the past decade, inflation risk premia have been … fluctuations in economic growth and inflation …

generally find that deflation terms contributes negatively to such a premium and inflation positively. The magnitudes of the … coefficients associated with deflation tend to be greater, compared to those associated with inflation. This suggests that …

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 …

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 …

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