and implied volatility of T-bonds and survey forecasts of GDP growth and inflation. We find relatively stable inflation …

We show that inflation disagreement, not just expected inflation, has an impact on nominal interest rates. In contrast … to expected inflation, which mainly affects the wedge between real and nominal yields, inflation disagreement affects … inflation disagreement raises real and nominal yields and their volatilities. Inflation disagreement is positively related to …

We use two market-based measures of inflation compensation to explore the transmission mechanism of monetary policy to … inflation markets. New information about the Fed's monetary policy stance becomes available on the days of meetings of the … Federal Open Market Committee (FOMC) and is reflected in asset prices. We measure the sensitivity of inflation compensation …

We show theoretically that inflation disagreement drives a wedge between real and nominal yields and raises their … levels and volatilities. We demonstrate empirically that an inflation disagreement increase of one standard deviation raises … real and nominal yields and their volatilities, break-even inflation, and the inflation risk premium by at least 30% of …

dynamics of inflation risk premia over the 1983-2013 period by allowing for time-varying market prices of inflation risk and … incorporating survey information on inflation uncertainty in the estimation. The model captures changes in premia over very diverse … periods, from the inflation scare episodes of the 1980s, when perceived inflation uncertainty was high, to the more recent …

real and nominal risk premia through endogenous inflation. The estimated model captures macroeconomic and yield curve … properties of the U.S. economy, implying significantly positive real term and inflation risk bond premia. Both premia are induced … by wage rigidities as a compensation for permanent productivity shocks. Stronger policy-rule responses to inflation …

representing the short-term real interest rate, expected inflation, inflation's central tendency, and four volatility factors that … follow GARCH processes. We derive analytical solutions for nominal bond yields, yields on inflation-indexed bonds that have … an indexation lag, and the term structure of expected inflation. Unlike prior studies, the model's parameters are …

This paper examines three empirical measures of the ex ante 10-year real interest rate: inflation-indexed government … bond yields and two Fisher-hypothesis proxies based on survey inflation expectations and a shifting endpoint econometric …

term structures are driven by state variables that include the short term real interest rate, expected inflation, a factor … that models the changing level to which inflation is expected to revert, as well as four volatility factors that follow … GARCH processes. We derive analytical solutions for the prices of nominal bonds, inflation-indexed bonds that have an …

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 …