that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation … benign inflation volatility when the bond yield became higher. Evidence for a long span of US data, and shorter German …, Japanese, and UK data, suggests the recent rise in the equity yield is accompanied by an uptick in inflation volatility …

of total inflation to price nominal Treasuries. This approach captures different frequencies in inflation fluctuations … a common structure of latent factors determines and predicts the term structure of yields and inflation. The model … outperforms popular benchmarks and is at par with the Survey of Professional Forecasters in forecasting inflation. Real rates …

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

industrial countries and to consider the role of inflation targets in the process. We also consider the robustness of results to … different DGPs for inflation expectations and the output gap. The introduction of inflation targets increases the level of real …