rates via the expectations hypothesis (EH). While the EH has been systematically rejected in the data, existing work … evaluating the EH generally assumes either full-information rational expectations or stationarity of beliefs, or both. As such … the EH. We introduce a model of expectations formation which features time-varying means and accommodates deviations from …

expectations accommodate perceived structural change and learning effects, are consistent with a lower bound on nominal interest …

To study inflation expectations and associated risk premia in emerging bond markets, this paper provides estimates for … prices that are only weakly correlated, the results indicate that long-term inflation expectations in Mexico are well …

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because … is used to derive expected payments, dependent on idiosyncratic risk and unrelated to interest rates. The expectations …

be cautions in interpreting RNDs as representing the true expectations of market participants. The method used in this …