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 …

. 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 … alternative derivation for a measure of time-varying disaster risk suggested by Wachter (2013), implying that both the disaster …

-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation …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 …

-run components of dividend risk and inflation risk. While labor rigidity shifts dividend risk towards the short horizon, it also … reveals - by means of labor-share variation - the component of inflation risk which is correlated with fundamentals. A simple … general equilibrium model with labor rigidity can explain how inflation interacts with the real growth and the labor-share, as …

The sovereign's intention to issue inflation-linked bonds (ILB) is to save money. More than 15 years' experience with …

Fleckenstein et al. (2014) document that nominal Treasuries trade at higher prices than inflation-swapped indexed bonds …, which exactly replicate the nominal cash flows. We study whether this mispricing arises from liquidity premiums in inflation …-indexed bonds (TIPS) and inflation swaps. Using US data, we show that the level of liquidity affects TIPS, whereas swap yields …

-run components of dividend risk and inflation risk. While labor rigidity shifts dividend risk towards the short horizon, it also … reveals -- by means of labor-share variation -- the component of inflation risk which is correlated with fundamentals. A … simple general equilibrium model with labor rigidity can explain how inflation interacts with the real growth and the labor …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

approximates sorting countries based on risk aversion and low (high) risk-aversion currencies depreciate (appreciate) in times of …