indexation lag, the term structure of expected inflation, and inflation swap rates. The model parameters are estimated using data … on nominal Treasury yields, survey forecasts of inflation, and inflation swap rates. We find that allowing for GARCH … term structures are driven by state variables that include the short term real interest rate, expected inflation, a factor …

of total inflation to price nominal Treasuries. This approach captures different frequencies in inflation fluctuations … a common structure of latent factors determines and predicts the term structure of yields and inflation. The model … outperforms popular benchmarks and is at par with the Survey of Professional Forecasters in forecasting inflation. Real rates …

of total inflation to price nominal Treasuries. This approach captures different frequencies in inflation fluctuations … a common structure of latent factors determines and predicts the term structure of yields and inflation. The model … outperforms popular benchmarks and is at par with the Survey of Professional Forecasters in forecasting inflation. Real rates …

of total inflation to price nominal Treasuries. This approach captures different frequencies in inflation fluctuations … a common structure of latent factors determines and predicts the term structure of yields and inflation. The model … outperforms popular benchmarks and is at par with the Survey of Professional Forecasters in forecasting inflation. Real rates …

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 …