Inflation expectation is acknowledged to be an important indicator for policy makers and financial investors. To … capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage …-free model across different countries in a multi-maturity term structure, where we first estimate inflation expectation by …

Compared with stocks, bonds are more directly affected by fluctuations in oil prices through the expected inflation … shocks predict negative real bond risk premium and positive inflation risk premium. Since these two effects offset each other … bond yield, breakeven inflation, and nominal bond yield respond differently to oil supply and demand shocks …

. This model decomposes the changes in original inflation series as two new series: increases and decreases in inflation … rates. Hence, it enables us to examine the Fisher effect in terms of increases and decreases in inflation separately. The …

Mispricing between Treasury inflation linked bond and nominal bonds is an issue under attention. This paper examines …

We study risk premium in US Treasury bonds. We decompose Treasury yields into inflation expectations and maturity …-specific interest rate cycles, which we define as variation in yields orthogonal to expected inflation. The short-maturity cycle … captures the real short-rate dynamics. Jointly with expected inflation, it comprises the expectations hypothesis (EH) term in …

-term interest rates to the Bank of England's inflation report and to macroeconomic announcements. Due to the quarterly frequency at … predicts that, the more time has elapsed since the latest release of an inflation report, market volatility should increase … evidence is fully supportive of these hypotheses. -- Public signals ; inflation reports ; monetary policy ; interest rates …

-term interest rates to the Bank of England's inflation report and to macroeconomic announcements. Due to the quarterly frequency at … predicts that, the more time has elapsed since the latest release of an inflation report, market volatility should increase …

-term interest rates to the Bank of England's inflation report and to macroeconomic announcements. Due to the quarterly frequency at … predicts that, the more time has elapsed since the latest release of an inflation report, market volatility should increase …

short-term interest rate, inflation, the growth of industrial production, and the government debt ratio. The results show …