We study the role of the cost of inflation channel in determining the risk premium in a (nonlinear) New Keynesian DSGE … model. Relying on a Calvo (or Rotemberg) price setting, we show that while the cost of inflation channel generates the …

This paper develops a DSGE model which explains variation in the nominal and real term structure along with inflation … time-varying term premia. We find a fall in nominal term premia during the 1990's which mainly is due to lower inflation … production costs, positive investment shocks, and a more aggressive response to inflation by the Bank of England …

We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in the United … inflation and interest rate expectations at various future horizons, as well as term structure data from both nominal and index …-linked bonds. Our results show that, in both currency areas, inflation risk premia are relatively small, positive, and increasing …

We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia in the United … inflation and interest rate expectations at various future horizons, as well as term structure data from both nominal and index …-linked bonds. Our results show that, in both currency areas, inflation risk premia are relatively small, positive, and increasing …

We use a joint model of macroeconomic and term structure dynamics to estimate inflation risk premia and inflation … survey data on inflation and interest rate expectations at various future horizons, as well as term structure data from both … sufficiently developed in both monetary areas, inflation risk premia across various maturities had strikingly similar properties in …

and the inflation risk premia differential (IRPD) component. We find that the IRPD component is significantly negative for …

Theory predicts that the equilibrium real interest rate, r*t, and the perceived trend in inflation, ð*t, are key …

A dynamic term structure model based on an explicit structural macroeconomic framework is used to estimate inflation … risk premia in the United States and the euro area. On average over the past decade, inflation risk premia have been … fluctuations in economic growth and inflation …