also find that forecasters learn from their own forecast errors (rather than from consensus forecast errors) and that they … overreact when forming expectations (as indicated by their forecast revisions). Finally, while forecasters have worse …

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 … endpoint forecast model to substantially expand the otherwise short sample periods.Stylized facts of the behavior of long …

for Treasuries, inflation-protected securities, inflation derivatives, and oil future prices based on no … information from inflation options can often produce more accurate inflation forecasts than those based on the Survey of … Professional Forecasters. Second, incorporating oil futures tends to improve short-term inflation and longer-term nominal yield …

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 …

This paper examines the inflation forecastability of cross-sectional stocks. To differentiate the cross …-sectional inflation exposures, we make the important observation that cross-sectional stock returns exhibit persistent sensitivity to … headline inflation shocks during the calendar month of CPI, and to core inflation news on CPI announcement days. Examining the …