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 …

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 …

We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia and inflation … survey data on inflation and interest rate expectations at various future horizons, as well as term structure data from both … sufficiently developed in both monetary areas, inflation risk premia across various maturities had strikingly similar properties in …

We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in the United … inflation and interest rate expectations at various future horizons, as well as term structure data from both nominal and index …-linked bonds. Our results show that, in both currency areas, inflation risk premia are relatively small, positive, and increasing …

We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in the United … inflation and interest rate expectations at various future horizons, as well as term structure data from both nominal and index …-linked bonds. Our results show that, in both currency areas, inflation risk premia are relatively small, positive, and increasing …

government bonds to derive expected inflation rates and inflation risk premia, in the euro area and in the US. Maximum likelihood … which can be interpreted as two real factors and one inflation factor. These provide important information on expected … inflation and inflation risk premia. The results highlight some striking differences between the euro area and the US. In the US …

variables: the dividend yield, two factors driving the one-period real interest rate and the rate of inflation. The model …

inflation rates. Expectations about real macroeconomic variables seem to matter more than expectations about nominal factors …Die empirische Literatur zur Zinsstruktur zeigt, dass sich langfristige Zinsen nicht - wie dies die sogenannte …

Treasury Inflation-Protected Securities (TIPS) are frequently thought of as risk-free real bonds. Using no … informational content of TIPS breakeven inflation, a widely-used proxy for expected inflation …