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. …

Inflation-indexed securities would appear to be the most direct source of information about inflation expectations and … real interest rates" (Bernanke, 2004). In this paper we study the term structure of real interest rates, expected inflation … and inflation risk premia using data on prices of Treasury Inflation Protected Securities (TIPS) over the period 2000 …

This paper estimates the inflation risk premium using data on prices of Treasury inflation-protected securities (TIPS … also distinguishes between TIPS yields and real yields by explicitly taking into account the three-month indexation lag of … the first subperiod. We find that the inflation risk premium is time varying and, on average, is considerably lower than …