of total inflation to price nominal Treasuries. This approach captures different frequencies in inflation fluctuations … a common structure of latent factors determines and predicts the term structure of yields and inflation. The model … outperforms popular benchmarks and is at par with the Survey of Professional Forecasters in forecasting inflation. Real rates …

This paper provides a toolkit for extracting accurate information about inflation expectations using inflation …-linked bonds. First, we show how to estimate term structures of zero-coupon real rates and break-even inflation rates (BEIRs) in … the euro area. This improves the analysis of developments in inflation expectations by providing constant maturity …

that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation … benign inflation volatility when the bond yield became higher. Evidence for a long span of US data, and shorter German …, Japanese, and UK data, suggests the recent rise in the equity yield is accompanied by an uptick in inflation volatility …

This paper examines the inflation risk premium in affine term structure models. By estimating empirical distributions … for the inflation risk premium using a new Bayesian methodology, we find a wide range of likely estimates. Credibility … period of 2004-2012. Our results show that affine term structure models are unable to capture the inflation risk premium …

This paper examines the inflation risk premium in affine term structure models. By estimating empirical distributions … for the inflation risk premium using a new Bayesian methodology, we find a wide range of likely estimates. The 95 … during the period of 2004-2012. Our results show that affine term structure models are unable to capture the inflation risk …

solutions, all have failed as these attempts implicitly assume perfectly-correct inflation statistics. Examining these … assumptions, we discover that not only are the inflation numbers materially flawed, but more so, there are significant incentives … for government entities to under-report inflation. With this, we find that to explain the Equity Premium Puzzle, inflation …

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 …