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 …

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 …

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 …

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

We present two models for long-term inflation expectations and inflation risk premiums for Canada. First, we estimate … inflation expectations using a vector autoregressive model based on the relationship of inflation with both the unemployment gap … and the term structure of the Government of Canada nominal bond yields. Then we estimate the inflation risk premium by …

future excess returns is the key driver though only for Icelandic bonds are returns independent of inflation. …

variables, such as consumer price inflation, the growth of industrial production, the stock price index, the exchange rate of …

We revisit the concept of the cost of hedging inflation risks put forward in Bodie (1976). When doing so, we employ a …-varying compensation for expected and unexpected inflation shocks embedded in the sovereign bond yields of Germany, France, Japan and the … reflection of a low real risk-free rate, low inflation expectations and a low cost for hedging inflation risks. We have not …

The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do … so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging … inflation risks from the perspective of a well diversified portfolio. This allows to disentangle the time-varying compensation …

by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation … inflation risks are not necessarily reduced with the inclusion of real estate assets in the minimum variance portfolio. Our … investors for holding the less attractive inflation-linked debt asset. …