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 …

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 …

We provide a critical assessment of the method used by the Cleveland Fed to correct expected inflation derived from … index-linked bonds for liquidity and inflation risk premia and show how their method can be adapted to account for time …-varying inflation risk premia. Furthermore, we show how sensitive the Cleveland Fed approach is to different measures of the liquidity …

inflation rate or interest rate and the dynamics of investment fund in U.S. and Romania. The direct relationship between … inflation rate and net subscription of stock funds in the US market is validated, while in the case of Romania cannot be …

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 …

the Phillips curve over time. We consider different specifications and different measures for inflation. Furthermore, we ….S. headline inflation has remained empirically relevant over the years. …