an indexation lag, and the term structure of expected inflation. Unlike prior studies, the model's parameters are … estimated using data on inflation swap rates, as well as nominal yields and survey forecasts of inflation. The volatility state … representing the short-term real interest rate, expected inflation, inflation's central tendency, and four volatility factors that …

how to use traded zero-coupon inflation-indexed swap rates to estimate inflation risk premiums …, and the inflation risk premium to price inflation-indexed derivatives, including zero-coupon inflation-indexed swaps, year …-on-year inflation-indexed swaps, inflation-indexed swaptions, and inflation-indexed caps and floors. We provide an example and explain …

Theory predicts that the equilibrium real interest rate, r*t, and the perceived trend in inflation, ð*t, are key …