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 …

Treasury Inflation-Protected Securities (TIPS) are frequently thought of as risk-free real bonds. Using no … informational content of TIPS breakeven inflation, a widely-used proxy for expected inflation …

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. According …

and inflation responses to a source of inflation risk. Bond yields contain compensations for this risk that depend on the … policy. Credibility improvements reduce the exposure to inflation risk and bond risk premiums decline. A model calibration …

variables: the dividend yield, two factors driving the one-period real interest rate and the rate of inflation. The model …