of expectations for output growth, inflation, and the policy rate. We show that a simple unobserved components model of …

.S. economy, implying significantly positive real term and inflation risk bond premia. In contrast to previous literature, both …-rule responses to inflation (output) increase (decrease) both premia, while policy surprises generate negligible risk premia …

In this paper we estimate inflation expectations for several Latin American countries using an affine model that takes … as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds. By … implementing this approach, we avoid the use of inflation-linked securities, which are scarce in many of these markets, and obtain …

In this paper we estimate inflation expectations for several Latin American countries using an affine model that takes … as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds. By … implementing this approach, we avoid the use of inflation-linked securities, which are scarce in many of these markets, and obtain …

structure model of inflation and interest rates. Our empirical results indicate that TIPS yields contained a "liquidity premium …-varying inflation risk premium complicates the interpretation of the TIPS break even inflation rate (the difference between the nominal … inflation expectations implied by the model, lending support to the view that TIPS break even inflation rates are a useful proxy …

We propose a new method of estimating the natural real rate and long-horizon inflation expectations, using nonlinear … regressions of survey-based measures of short-term nominal interest rates and inflation expectations on U.S. Treasury yields. We …-horizon inflation expectations declined steadily during the 1990s and have since been relatively stable at close to 2 percent. Our …