structure model of inflation and interest rates. Our empirical results indicate that TIPS yields contained a "liquidity premium …-varying inflation risk premium complicates the interpretation of the TIPS breakeven inflation rate (the difference between the nominal … inflation expectations implied by the model, lending support to the view that TIPS breakeven inflation rates are a useful proxy …

TIPS breakeven inflation rate, defined as the difference between nominal and TIPS yields of comparable maturities, is … potentially useful as a real-time measure of market inflation expectations. In this paper, we provide evidence that a fairly large … and TIPS yields, inflation and survey forecasts of interest rates. Ignoring the TIPS liquidity premiums leads to …

We study risk premium in US Treasury bonds. We decompose Treasury yields into inflation expectations and maturity …-specific interest rate cycles, which we define as variation in yields orthogonal to expected inflation. The short-maturity cycle … captures the real short-rate dynamics. Jointly with expected inflation, it comprises the expectations hypothesis (EH) term in …

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 …

reaction is due to real term and inflation risk premia rather than the expectation component of yields. We argue both … theoretically and empirically that supply shocks transmit via the repricing of duration and inflation risks in the economy. We also …