This paper investigates the impact of revisions in inflation expectations on the prices of UK inflation-indexed and … conventional government bonds with a vector autoregressive (VAR) model. Downwards revisions of inflation expectations are … affected. This suggests that indexed bonds protect investors against inflation while nominal bonds are exposed to changing …

inflation-linked bonds (ILB mispricing) in the G7 government bond markets, and extends the slow moving capital explanation of … the persistence of arbitrage mispricing in financial markets. Nominal bonds are “richer” than cash-flow matched inflation … which represents more than eight percent of the total size of the G7 inflation-linked bond markets. Furthermore, the index …

Market-based measures of inflation expectations can be derived either from the difference between yields on nominal and … inflation-linked government bonds or from inflation swap rates. These measures are important indicators of the outlook for … inflation and are monitored regularly by the United Kingdom's Monetary Policy Committee (MPC), alongside other measures of …

future excess returns is the key driver though only for Icelandic bonds are returns independent of inflation. …

by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation … inflation risks are not necessarily reduced with the inclusion of real estate assets in the minimum variance portfolio. Our … investors for holding the less attractive inflation-linked debt asset. …

This paper investigates the impact of revisions in inflation expectations on the prices of UK inflation-indexed and … conventional government bonds with a vector autoregressive (VAR) model. Downwards revisions of inflation expectations are … affected. This suggests that indexed bonds protect investors against inflation while nominal bonds are exposed to changing …

structure reflects changing expectations of future yields and inflation. This analysis shows that the presence of time … less than five years. By contrast, variations in inflation expected over the next two to three years are very accurately … term structures closely track changing expectations regarding future nominal and real yields but not future inflation …

This paper examines the information content of inflation forecasts derived using index-linked and conventional bonds …. The paper finds that the derived inflation term structure (ITS) gives a somewhat better indication of the bond market …'s inflation expectation than can be derived using either the nominal term structure or a variant employing strong assumptions …

This paper investigates the link between the perceived inflation risks in macroeconomic forecasts and the inflation … risk premia embodied in financial instruments. We first provide some stylized facts about the term structure of inflation … compensation, inflation expectations and inflation risk premia in the euro area bond market. Latent factor models like ours fit …