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 …

This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation … uncertainty differs importantly from measures of disagreement regarding inflation forecasts and other proxies, such as model …

Inflation expectation is acknowledged to be an important indicator for policy makers and financial investors. To … capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage …-free model across different countries in a multi-maturity term structure, where we first estimate inflation expectation by …

This paper examines three empirical measures of the ex ante 10-year real interest rate: inflation-indexed government … bond yields and two Fisher-hypothesis proxies based on survey inflation expectations and a shifting endpoint econometric …

The term structure of inflation forecasts disagreement in the US can be summarized by two components: disagreement … about the trend inflation, and disagreement about the cyclical inflation. While the former has identical impacts on … forecasting horizons. Only the cyclical inflation disagreement has a significant impact on monetary policy efficacy. High …

Economic theory predicts that intertemporal decisions depend critically on expectations about future outcomes. Using … of expectations for output growth, inflation, and the policy rate. We show that a simple unobserved components model of …

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 …

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 …