. Adding inflation as a second variable, we uncover two states in which expected consumption growth is low, one with high and … one with negative expected inflation. Embedded in a general equilibrium asset pricing model with learning, these dynamics …

cyclical movements in Treasury bond premia. Downward nominal rigidities create state-dependence in output and inflation … dynamics: a higher level of inflation makes prices more flexible, leading output and inflation to be more volatile, and bonds … to become more risky. The model matches well the relation between the level of inflation and a number of salient macro …

dynamics of inflation risk premia over the 1983-2013 period by allowing for time-varying market prices of inflation risk and … incorporating survey information on inflation uncertainty in the estimation. The model captures changes in premia over very diverse … periods, from the inflation scare episodes of the 1980s, when perceived inflation uncertainty was high, to the more recent …

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

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 …

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 …

Theory predicts that the equilibrium real interest rate, r*t, and the perceived trend in inflation, ð*t, are key …

We revisit the concept of the cost of hedging inflation risks put forward in Bodie (1976). When doing so, we employ a …-varying compensation for expected and unexpected inflation shocks embedded in the sovereign bond yields of Germany, France, Japan and the … reflection of a low real risk-free rate, low inflation expectations and a low cost for hedging inflation risks. We have not …