This paper investigates the link between the perceived inflation risks in macro-economic 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 …

We propose a DSGE model with regime switching in the central bank's inflation target to explain inflation compensation … in the UK. Taking advantage of the well-documented change in UK monetary policy to adopt inflation targeting, we estimate … our model using nominal and inflation-linked Treasury bond data from the UK from 1985 to 2007. We find that this model can …

This paper estimates Inflation risk premia in the Euro area based on nominal swap yields, inflation swap rates, CPI and … conclude that inflation risk premia is insignificant, where a model including surveys will that it significant. Finally our …

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 …

cyclical movements in Treasury bond premia. Downward nominal rigidities create state-dependence in output and inflation … dynamics: a higher level of inflation makes prices more flexible, leading output and inflation to be more volatile, and bonds … to become more risky. The model matches well the relation between the level of inflation and a number of salient macro …

inflation expectations and risk premia. This entails jointly pricing and decomposing nominal and real UK yields. We find … evidence that medium- and long-term inflation expectations are contained within narrower bounds since the early 1990s …, suggesting monetary policy credibility improved after the introduction of inflation targeting. …

interpretable variables, the level of nominal forward rates, and one-year-ahead expected inflation extracted from the forwards (IE … and Piazzesi [2005] (CP). The IE is constructed by regressing realized inflation on five forward rates, which improves … substantially upon predictive regressions for inflation that use the term spread and the spot rate only. The intuition can be well …

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 break even inflation rate (the difference between the nominal … inflation expectations implied by the model, lending support to the view that TIPS break even inflation rates are a useful proxy …