cyclical movements in Treasury bond premia. Downward nominal rigidities create state-dependence in output and inflation … dynamics: a higher level of inflation makes prices more flexible, leading output and inflation to be more volatile, and bonds … to become more risky. The model matches well the relation between the level of inflation and a number of salient macro …

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 …

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 …

yields' fluctuations and highlight the roles of a tight monetary policy stance and expectations of lower inflation in … negative inflation slope points to higher odds of a recession within a year. An aggressive removal of policy accommodation …

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

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 …

We propose a new model to decompose inflation swaps into genuine inflation expectations and risk premiums. We develop a … long-run, economically grounded determinants, such as the equilibrium real interest rate and the inflation target. Our … estimations deliver new insights into how macroeconomic variables affect market-based inflation expectation measures. …

consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates …. In the absence of autocorrelation in inflation, the risk premium is constant. If inflation is correlated, however, the …

consider the implications of a risk premium that arises from endogenous market segmentation driven by variable inflation rates …. In the absence of autocorrelation in inflation, the risk premium is constant. If inflation is correlated, however, the …

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 …